On Persistence in Mutual Fund Performance
使用无幸存者偏差的样本，发现股票收益的共同因子和投资费用几乎完全解释了股票型共同基金平均收益和风险调整收益的持续性，不支持基金经理存在技能或信息优势。
ABSTRACT Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk‐adjusted returns. Hendricks, Patel and Zeckhauser's (1993) “hot hands” result is mostly driven by the one‐year momentum effect of Jegadeesh and Titman (1993) , but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst‐return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.