Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988
研究发现，无销售费用、成长型共同基金的相对业绩在短期内具有持续性，尤其是以一年为评估期时。近期表现差的基金组合显著低于基准，而表现好的基金组合则优于基准，但统计上不显著。
ABSTRACT The relative performance of no‐load, growth‐oriented mutual funds persists in the near term, with the strongest evidence for a one‐year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk‐adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survivorship bias. Investigations with a different (previously used) data set and with some post‐1988 data confirm the finding of persistence.