2025
On the Return Persistence of Index and Nonindex Mutual Funds
ŠINDELÁŘ, JiříBasic information
Original name
On the Return Persistence of Index and Nonindex Mutual Funds
Name in Czech
K persistenci výnosů indexových a neindexových podílových fondů
Authors
ŠINDELÁŘ, Jiří
Edition
The Journal of Beta Investment Strategies, New York, Portfolio Management Research, 2025, 2771-6511
Other information
Language
English
Type of outcome
Article in a journal
Field of Study
50206 Finance
Country of publisher
United States of America
Confidentiality degree
is not subject to a state or trade secret
References:
Organization unit
University of Finance and Administration
Keywords (in Czech)
Podílové fondy, Akciové trhy, Aktivní správa, Pasivní správa, Persistence výnosů
Keywords in English
Mutual funds; Equity markets; Active management; Passive management; Returns persistence
Tags
Tags
International impact, Reviewed
Changed: 17/10/2025 07:17, Bc. Jan Peterec
In the original language
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.
In Czech
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.