Mutual Fund Families In Saudi Arabia, Malaysia, Indonesia And Pakistan: How Persist Their Performance Are?

The paper investigates the fund family performance persistence in Saudi Arabia, Malaysia, Indonesia and Pakistan for one-, six-, and twelve-month period. The contingency table is used to identify the frequency with which fund families are defined as winners or losers and maintain that rating over succeeding time periods. The superior persistence is found in one-month period where investors can use past information for up to one month as a beneficial part of their investment decision-making process. There is some evidence for superior persistence up to six month period (in Malaysia), and there is some evidence of an inferior persistence in one-month (only in Indonesia). This suggest that past performance is not predictive of future performance. This research presents new evidence of performance persistence at the fund family level in emerging markets. The results are useful for both the investors and managers where managers can position themselves relative to their competing peers and take the necessary decision or improvement to make themselves seen more competent. While for investors, they are able to allocate their capital more efficiently to funds that are better managed by the fund family. Investors are able to use this information when they want to apply top down approach in making their investment decision. This is the first study that investigates the performance persistence at fund family level to benefits investors that apply top down approach in their fund selection decision.