... alphas of HML and MOM have been declining over time. Mutual fund Performance evaluation Performance persistence G11 G12 G23 Carhart (1997) is a seminal study in mutual fund performance persistence. He finds that among U.S. equity mutual funds, past returns do predict future...

... Tiwari Licensed re-use rights only Mutual funds Conditional benchmarks Performance evaluation To address this concern, we extend the conventional conditional performance evaluation framework to account for these predictable changes in style exposures. Our approach builds on the traditional...