A Test of the Persistence in the Performance of UK Managed Funds
利用英国投资信托公司的周回报数据，检验基金业绩的持续性，发现长期业绩存在持续性，但短期不明显。
We employ a United Kingdom data set of weekly returns from a sample of investment trust companies available on the Datastream database. We analyse the relative performance of the funds and determine whether a ‘good’ (above‐median), past‐performance is indicative of future performance. Our study focuses on within sample relative performance. We examine persistence in performance in the short and long run based on a number of tests. Overall we find that both raw and risk‐adjusted returns exhibit evidence of persistence in performance in the long run but not in the very short run.