TY  - BOOK
AU  - Hendricks,Darryll
AU  - Patel,Jayendu
AU  - Zeckhauser,Richard
ED  - National Bureau of Economic Research.
TI  - Hot Hands in Mutual Funds: The Persistence of Performance, 1974-87 
T2  - NBER working paper series
PY  - 1990///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - June 1990; Hardcopy version available to institutional subscribers
N2  - The net returns of no-load mutual growth funds exhibit a hot-hands phenomenon during 1974-87. When performance is measured by Jensen's alpha, mutual funds that perform well in a one year evaluation period continue to generate superior performance in the following year.  Underperformers also display short-run persistence. Hot hands persists in 1988 and 1989; The success of the hot hands strategy does not derive from selecting superior funds over the sample period. The timing component -- knowing when to pick which fund -- is significant. These results are robust to alternative equity portfolio benchmarks, such as those that account for firm-size effects and mean reversion in returns. Capitilizing on the hot hands phenomenon, an investor could have generated a significant, risk-adjusted excess return of 10% per year
UR  - https://www.nber.org/papers/w3389
UR  - http://dx.doi.org/10.3386/w3389
ER  -