Adjusting for Risk Factors in Mutual Fund Performance and Performance Persistence: Evidence From the Greek Market During the Debt Crisis

Journal of Risk Finance, Vol. 20 No. 4, pp. 352-369

DOI: 10.1108/JRF-07-2018-0108

26 Pages Posted: 29 Oct 2019 Last revised: 8 Jan 2021

See all articles by Drosos Koutsokostas

Drosos Koutsokostas

National and Kapodistrian University of Athens

Spyros Papathanasiou

National and Kapodistrian University of Athens

Dimitris Balios

Independent

Date Written: August 19, 2019

Abstract

The purpose of this paper is to examine the performance of Greek equity mutual funds and the persistence in annual performance for the period 2008-2017 by using a variety of performance models. Design/methodology/approach Using all the available funds in operation and daily data, the authors apply single-index (Jensen, 1968) and multi-factor models (Fama and French, 1993; Carhart, 1997) to measure risk-adjusted returns. To assess performance persistence, a series of parametric (Bollen and Busse, 2005) and non-parametric tests (Malkiel, 1995; Brown and Goetzmann, 1995; Kahn and Rudd, 1995) is implemented. Findings Results show that the Greek equity mutual funds perform, on average, worse than the market index, irrespective of the performance measure applied, and the estimations obtained by the models are similar. Few managers that followed large-cap strategies, pursued stocks with high book-to-market value ratio and eliminated their exposure to the momentum effect were able to add value to their portfolios. Furthermore, a winner-picking strategy based on sustained superior performers is questioned. However, assigning fund returns to the corresponding risk factors results in the partial disappearance of persistence in performance. Originality/value The sample period includes the turbulent period, following the introduction of capital controls, which affected capital flows significantly. Moreover, the application of multiple performance measures enables us to investigate performance persistence in a wider spectrum.

Keywords: Portfolio Performance; Mutual Funds; Performance Persistence; Model Evaluation

Suggested Citation

Koutsokostas, Drosos and Papathanasiou, Spyros and Balios, Dimitris, Adjusting for Risk Factors in Mutual Fund Performance and Performance Persistence: Evidence From the Greek Market During the Debt Crisis (August 19, 2019). Journal of Risk Finance, Vol. 20 No. 4, pp. 352-369, DOI: 10.1108/JRF-07-2018-0108, Available at SSRN: https://ssrn.com/abstract=3472331

Drosos Koutsokostas

National and Kapodistrian University of Athens ( email )

5 Stadiou Strt
Athens, 12131
Greece
10679 (Fax)

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

Dimitris Balios

Independent ( email )

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
172
Abstract Views
1,007
rank
211,027
PlumX Metrics