The Journal of Finance · 1992 · 954 citations · 8 references
Financial EconomicsAsset PricingMultiple Portfolio BenchmarkFund ManagementPortfolio SelectionAccountingHedge FundManagementBusinessAsset AllocationPortfolio ManagementMutual Fund PerformanceMutual FundsPerformance PersistenceFinancial EngineeringFinanceAbnormal Returns
ABSTRACT This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 14.9K citations
THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964
Michael C. Jensen · The Journal of Finance · 1968 · 4.4K citations · Full text
Survivorship Bias in Performance Studies
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Performance Management, Performance Studies, Survivorship Bias +15