tailieunhanh - Ebook The handbook of equity style management (3rd edition): Part 2

(BQ) Part 2 book "The handbook of equity style management" has contents: The persistence of equity style performance - evidence from mutual fund data; how the technology bubble of 1999–2000 disrupted equity style investing; multistyle equity investment models, multistyle equity investment models,.and other contents. | CHAPTER 11 The Persistence of Equity Style Performance: Evidence from Mutual Fund Data Ronald N. Kahn, . Head of Active Equities Barclays Global Investors Andrew Rudd, . Chairman BARRA, Inc. he question of whether historical performance predicts future performance is central to investing. We recently published the results of a comprehensive study of this question in the Financial Analysts Using style analysis, we analyzed the persistence of performance for equity and fixed income mutual funds. We explicitly accounted for survivorship bias, fees and expenses, and used multiple databases to minimize the incidence of data errors. We found no evidence for persistence of equity fund performance. We found some evidence of persistence of fixed income mutual fund performance; however, this persistence did not provide investors with a sufficient edge to overcome the average underperformance of these mutual funds. T 1 Ronald N. Kahn and Andrew Rudd, “Does Historical Performance Predict Future Performance?” Financial Analysts Journal (November/December 1995), pp. 43–52. 259 260 THE HANDBOOK OF EQUITY STYLE MANAGEMENT Here we will update and extend the previous study for equity mutual funds along five lines of investigation. We will study a new time period. We will explicitly look at the issue of survivorship bias using this new time period. We will sharpen a blunt methodological tool, which tested whether above median funds remained above median, and now test whether top quartile funds persist. We will distinguish between fund persistence and manager persistence. And, to minimize reliance on style analysis, we will explicitly focus on just one type of fund, in this case, equity growth funds. PREVIOUS RESEARCH Many academics have investigated the persistence of performance, and their studies fall into two camps. Several studies have shown, based on different asset classes and different time periods, that performance does not persist. Jensen looked at