| The purpose of this study is to extend the research upon the performance persistency of both open-end and closed-end mutual funds. Because of the inherent differences between the two classes of investments, this study will also examine the degree of performance persistency between the two classes to discern if closed-end funds are able to maximize their liquidity advantages and thereby display a greater performance persistency than that of open-end funds. The empirical analysis includes the Spearman Rank Correlation Coefficient to examine relative performance persistency. Regression analysis is performed to determine a risk-adjusted alpha against a style consistent benchmark and thereby examine absolute performance persistency. And finally, a discriminant analysis is utilized to compare performance persistency and fund characteristics between open and closed-end mutual funds.; In addition to a direct study of performance persistency, this study examines the fund characteristics of expenses, net assets, and turnover to measure what, if any, their impact may be upon funds that do and do not display performance persistency.; Results indicate that, consistent with the literature, performance persistency may be detected, though the results are mixed. Risk-adjusted returns are mean consistent for some classes, yet display wide swings from the arithmetic mean in others. A demonstration of the superior performance persistency of closed-end funds over open-end funds is not detected, and the effects of fund characteristics on funds displaying performance persistency is mixed. |
