Performance Analysis. Evidence From the US Open-end Funds Industry

The existing literature of performance persistence of US open-end funds is limited. We are going to use the entire population of 12083 US open-end funds to test performance persistence in different time periods, namely the first year, the third year, the fifth year and the tenth year. The sample is free of survivorship and self-selection bias and is obtained from Wiesenberger InvestmentView database. We sort funds classified as winners and losers based on past performance by using the general methods of moments, GMM methodology. A positive and statistically significant alpha indicates a skilled fund manager whose decisions add value to the fund. On the other hand, negative alpha values represent inferior performance of the manager. A positive and significant market timing ability indicates skilled fund manager whose decisions add value to the fund. Their ability to outperform the benchmark index is based on skill and not luck. Negative market timing ability t-statistics values represent inferior performance of the manager to add value. The results are mixed. We find evidence for managerial performance persistence in the short-term namely the first and third year. There is no evidence of performance persistence for winners and losers the fifth and tenth year