2025
On the Return Persistence of Index and Nonindex Mutual Funds
ŠINDELÁŘ, JiříZákladní údaje
Originální název
On the Return Persistence of Index and Nonindex Mutual Funds
Název česky
K persistenci výnosů indexových a neindexových podílových fondů
Autoři
ŠINDELÁŘ, Jiří
Vydání
The Journal of Beta Investment Strategies, New York, Portfolio Management Research, 2025, 2771-6511
Další údaje
Jazyk
angličtina
Typ výsledku
Článek v odborném periodiku
Obor
50206 Finance
Stát vydavatele
Spojené státy
Utajení
není předmětem státního či obchodního tajemství
Odkazy
Organizační jednotka
Vysoká škola finanční a správní
Klíčová slova česky
Podílové fondy, Akciové trhy, Aktivní správa, Pasivní správa, Persistence výnosů
Klíčová slova anglicky
Mutual funds; Equity markets; Active management; Passive management; Returns persistence
Štítky
Příznaky
Mezinárodní význam, Recenzováno
Změněno: 17. 10. 2025 07:17, Bc. Jan Peterec
V originále
This article deals with investment decision-making in the environment of the semi-persistent returns of active and passive funds. The author constructs a theoretical model of portfolio allocation between these two groups based on short- and long-term past returns and confirms its validity with a simulation based on a sample of US large-cap equity funds from 1990–2021. The analysis shows that short-term persistence in fund returns is limited and long-term performance is a significantly better predictor of future returns. It also points to a higher prevalence of passive instruments in long-term portfolios. This phenomenon is consistent across all types of time periods. Finally, the author proposes a return continuity indicator (RCI) as a simple tool to assess the persistence of (excess) return among actively managed funds.
Česky
This article deals with investment decision-making in the environment of the semi-persistent returns of active and passive funds. The author constructs a theoretical model of portfolio allocation between these two groups based on short- and long-term past returns and confirms its validity with a simulation based on a sample of US large-cap equity funds from 1990–2021. The analysis shows that short-term persistence in fund returns is limited and long-term performance is a significantly better predictor of future returns. It also points to a higher prevalence of passive instruments in long-term portfolios. This phenomenon is consistent across all types of time periods. Finally, the author proposes a return continuity indicator (RCI) as a simple tool to assess the persistence of (excess) return among actively managed funds.