Short-term persistence and mutual fund characteristics

Udomsak Wongchoti
2013 Investment Management & Financial Innovations  
Outperforming mutual funds continue to display quarterly momentum effects during the 1998-2007 period. Further analyses on fund characteristics demonstrate that the relative price of funds (to earnings and book value) is the key indicator of the performance persistence. Specifically, cheaper winner funds (low P/E or P/B ratios) are more persistent in their performances. The double-sort momentum strategies based on these characteristics enhance the momentum returns by around 0.88 per cent to
more » ... .88 per cent to 1.44 per cent per quarter compared to traditional single-sort strategies.
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