Grose, Chris; Dasilas, Apostolos; Alexakis, Christos - In: Journal of International Financial Markets, … 33 (2014) C, pp. 155-182
We examine performance persistence in a sample of Portugal, Italy, Greece, and Spain (PIGS) government debt mutual funds. Performance persistence is measured for short-, medium-, and long-term periods using the conditional CAPM, the Sharpe ratio, and a modified version of the Sharpe ratio....
