تداوم عملکرد صندوق سرمایه گذاری اروپا

This paper examines the performance and persistence in performance of style-consistent European equity mutual funds between 1988 and 2010. Using a large survivorship bias-free sample for six European countries, we document strong evidence of persistence in benchmark-adjusted returns over 1-year time periods as well as over longer periods. We find statistically and economically significant performance persistence for time horizons of up to 36 months, although persistence is much more pronounced for the top and bottom performers. Thus, past performance of European mutual funds have explanatory power for future performance and investors can obtain useful evidence from past performance data.

Despite the economic importance of the European mutual fund industry, due to the integration of European financial markets in the last decade, European-registered funds are an under-research topic. There is no study which has examined the performance of equity funds investing in the main European financial markets over a long time period. This is an important area of research, investors can easily compare the performance of mutual funds investing in different European countries since the introduction of the common Euro currency. Our paper investigates the performance of monthly returns for mutual funds having a European equity focus over the January 1988 to December 2010 period. Our research aims to provide evidence on whether countries and investment styles are segmented in European financial markets. Heston and Rouwenhorst (1994) study the impact of industry and country factors on stock returns and show that the country factor has a strong influence. Recently, Sonney (2009) finds that stock analysts who are focused in certain countries have an informational advantage over sector specialists due to their better knowledge about country-specific factors and the geographical proximity with the companies they research. Research into fund performance persistence has a long history, the literature agrees that performance persistence is a relevant issue but disagrees on whether and to what degree persistence is present. Jensen's (1968) early research on mutual funds states that funds do not have abnormal performance. Some later papers contradict this conclusion and show that relative performance persists over short and long periods. Bollen and Busse (2005), Avramov and Russ (2006), and Kosowski et al. (2006) show predictability in fund performance even after accounting for momentum. In costrast, Carhart (1997) using a survivorship-free sample of U.S. equity funds shows that persistence disappears after accounting for momentum in stock returns. Henriksson (1984), Barras et al. (2010), Fama and French (2010), and Busse et al. (2010) show little to no evidence of persistence over long time horizons. Our main contribution is to determine whether an investor can actively select European mutual funds with a persistent performance objective, relative to European risk factors. Most studies that have considered this question have focused on U.S. equity mutual funds. It is important to find out if this conclusion applies to other markets, in order to corroborate the U.S. results and to see how the macroeconomic characteristics affect the performance of equity mutual funds in Europe. Our results have economic and practical implications for investment management. From an economic perspective, if previous return performance can be used to forecast future returns, this is an important challenge to market efficiency. From a practical perspective, if there is no persistence in performance, then investors can engage in completely passive asset management. Although taking into account agency problems, entirely passive asset management is an unlikely result. Thus, some degree of active management should exist. A successful trading strategy would be of interest to many investors in European equity funds. Considering funds whose investment objectives focus on a specific country and investment style, we could allow for a potential investment strategy to generate abnormal returns by timing countries and investment styles, or by identifying funds with superior stock selection in each of our categories. Our results can determine whether country-specific or specialist style funds outperform generalist funds that invest more broadly across countries and investment styles in Europe. Further, our models determine whether macroeconomic factors are most useful in identifying superior European mutual funds. The paper is organised as follows. Section 2 describes the data, and the variables used in the study. Section 3 reviews the basic models and the methodology. Section 4 presents the main empirical results. Section 5 provides additional empirical results. Finally, Section 6 offers concluding remarks. Tables, figures and details on data sources are provided in Appendix A.

In this paper, we examine the performance and persistence in performance of European equity mutual funds between 1988 and 2010, and investigate whether the persistence effect is related to investment style. The performance of European equity mutual funds is an area of research with only a few significant articles. Using monthly data for the six largest European mutual fund countries, we find that past performance carries information about the future, we show alpha persistence of up to three years which is both economically and statistically highly significant. Thus, mutual funds that performed well in the past are likely to do well in the future on a benchmark-adjusted basis. The main conclusion is that European mutual funds show strong evidence of significant performance persistence, which is constant across investment styles, on an annual basis and in the longer-term periods (2- and 3-year intervals). Both 2- and 3-year alphas convey information about future performance, although persistence is much more pronounced for the top and bottom performers. We have used two methodologies in order to evaluate the existence of the persistence phenomenon. First, a parametric approach consisting of regression analysis. Second, a non-parametric methodology based on contingency tables, and supported by the repeat winner, the odds ratio, and the Chi-square tests to estimate the statistical significance of the results. The statistical tests confirm that persistence is strongly significant, mostly at a confidence level at the 99.9%. Thus, we can state that past performance of European mutual funds have explanatory power for future performance and investors can obtain useful evidence from past performance data. Multifactor models provide a useful discrimination of the winner and loser phenomenon in the European mutual fund market. Furthermore, our estimates of persistence are not sensitive to the choice of models, both three-factor and four-factor models show strong evidence of persistence. We also use conditioning information in performance measurement and find that is both statistically and economically significant. Our results also show that conditional measures are more informative and present a stronger significance about future performance than unconditional measures. Comparing the results from conditional and unconditional models, we assert that conditional alphas lead to stronger evidence of performance persistence for all fund portfolios. This suggests that the conditional factors considered in the multifactor model and the time-varying betas drive some of the evidence that there is a relationship between past and future fund performance. This is in line with most of the previous studies for the US market, which find that performance persistence is more significant when conditional models are used. Finding that a conditional measure is useful to detect persistence in fund performance is consistent with the view that more advanced methodologies are needed to successfully evaluate mutual funds performance. Our results show that average performance (Jensen's alpha) is negative for all fund portfolios at any time horizon considered, with poorer performance when conditional models are used. This suggests that in the European mutual fund market, the value added by active management does not cover its fees incurred. Overall, based on our results we can conclude that investment style consistency is indeed relevant and that the market values the ability of a fund manager to maintain a style-consistent portfolio. We also investigate the influence of fund characteristics on benchmarks-adjusted performance. We find that expense ratio, portfolio turnover, and load fees are significantly and negatively related to benchmark-adjusted performance, while maximum load is positively related. Finally, a few concerns about the methodology employed to obtain our results can be raised. We have addressed some concerns as the effect of fund size, investment style influence on persistence, or benchmark-adjusted results. Areas for future research include examining a larger sample size and the influence of fund characteristics such as management tenure on persistence.