Asebedo, 2004(1), Predicting Mutual Fund Over-Performance Over a Nine-Year Period

Financial
Counseling and Planning

The Journal of the
Association for Financial
Counseling and
Planning Education


VolumeĀ  15(1),
2004


Predicting Mutual Fund
Over-Performance Over a Nine-Year Period

Gabriel Asebedo and John Grable

    The purpose of this
    paper is to determine if, using historical data, it would have been
    possible to use a buy-and-hold strategy from January 1, 1995 through
    December 31, 2003 that resulted in a selection of funds that
    consistently outperformed other mutual funds. This study attempts to
    address several methodological issues commonly found in mutual fund
    performance research such as fund mergers, fund liquidations, name
    changes, and survivorship bias. Results support the hypothesis that low
    cost mutual funds tend to outperform higher cost funds over multiple
    time periods, and that short-term performance shows persistence of
    returns. Key words: Mutual fund performance