Managerial Performance Persistence. a Comparative Study of US Closed-End Funds

This article examines US closed-end funds using a sample of 603 closed-end funds from the period 2010 to 2020. The sample is free of survivorship bias. We find evidence of long-term managerial positive persistence. Performance is measured by Jensen’s alpha based on regression models such as the CAPM, Fama and French,(1993), three-factor model, Carhart, (1997), four-factor model and Guirguis,(2005), six-factor model. Fifteen out of twenty three sectors display Jensen’s alpha that is positive and statistically significant at 5% significance level. Based on Fama and French’s,(1993), three factor model, twelve out of twenty three sectors display alpha that is positive and statistically significant at 5% level. Based on Guirgui’s, (2005), six - factor model, twenty out of twenty three sectors display alpha that is positive and statistically significant at 5% level. A positive value of Jensen’s alpha means that the fund manager has outperformed the market index. A negative value of Jensen’s alpha shows inferior performance. The significant t-statistic is a sign of stock picking ability based on skills and not on luck. Positive alphas measure the contribution of the manager to the performance of the fund. Thus, a positive and statistically significant alpha indicates superior managerial performance of the fund