Don't Just Take Our Word For It
To acquaint yourself with the literature on mathematical approaches to mutual fund persistency, please consult this bibliography:
Bollen, Nicolas P. B., and Jeffrey A. Busse, 2001, On the timing ability of mutual fund managers, Journal of Finance 56, 1075-1094.
Brown, Stephen J., William N. Goetzmann, Roger G. Ibbotson, and Stephen A. Ross, 1992, "Survivorship Bias in Performance Studies," Review of Financial Studies, 5, 553-580.
Brown, Stephen J. and William N. Goetzmann, 1995, "Performance Persistence," Journal of Finance, 50, 679-698.
Busse, Jeffrey A., and Paul J. Irvine, 2002, "Bayesian Alphas and Mutual Fund Persistence," working paper, Goizueta Business School, Emory University, Atlanta, GA.
Carhart, Mark M., 1997, "On Persistence in Mutual Fund Performance," Journal of Finance, 52, 57-82.
Carlson, Robert S., "Aggregate Performance of Mutual Funds," 1948-1967, Journal of Financial and Quantitative Analysis 5, 1-32.
Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, "The Persistence of Risk-Adjusted Mutual Fund Performance," Journal of Business 69, 133-157.
Goetzmann, William N. and Roger G. Ibbotson, 1994, "Do Winners Repeat? Patterns in Mutual Fund Performance," Journal of Portfolio Management 20, 9-18.
Grinblatt, Mark, and Sheridan Titman, 1989, "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Journal of Business, 62, 393-416.
Grinblatt, Mark and Sheridan Titman, 1992, "The Persistence of Mutual Fund Performance," Journal of Finance 47, 1977-1984.
Grinblatt, Mark and Sheridan Titman, 1993, "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," Journal of Business, 66, pp. 47-68.
Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, Volume 85 (5), pp. 1088-1105.
Gruber, Martin, 1996, "Another Puzzle: the Growth in Actively Managed Mutual Funds," Journal of Finance, 51.
Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, "Hot Hands in Mutual Funds: Short-Run Persistence of Performance, 1974-88," Journal of Finance, 48, 93-130.
Ibbotson, Roger G., and Amita K. Patel, 2002, "Do Winners Repeat with Style? Summary of Findings," Ibbotson Associates. http://www.ibbotson.com/Research/papers/toc.asp
Jain, Prem C., and Joanna Shuang Wu, "Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows," Journal of Finance 55, 937-958.
Malkiel, Burton G., 1995, "Returns from Investing in Equity Mutual Funds 1971-1991," Journal of Finance, 50, 549-572.
Sauer, D.A., 1997, "Information Content of Prior Period Mutual Fund Performance Rankings," Journal of Economics and Business, 549-567.
Phelps, S. and L. Detzel, 1997, "The Non-Persistence of Mutual Fund Performance," Quarterly Journal of Busines and Economics 36, 55-69.
Wermers, Russ, 1997, "Momentum Investment Strategies of Mutual Funds, Performance Persistence, and Survivorship Bias," working paper, University of Colorado at Boulder, Boulder, CO.
Wermers, Russ, 2000, "Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transaction Costs, and Expenses," Journal of Finance 55, 1655-1695.
Wermers, Russ, 2001, "Predicting Mutual Fund Returns," Working Paper, University of Maryland.
