Question: Using data for 2 0 2 1 , suppose a researcher analyzes mutual fund returns and estimates each fund's alpha use the Fama - French

Using data for 2021, suppose a researcher analyzes mutual fund returns and estimates each fund's
alpha use the Fama-French three factor model. The researcher then ranks these funds from
highest alpha to lowest and splits the funds into quintiles with the top quintile generating the
highest alphas and the bottom quintile generating the lowest alphas. The researcher then
measures the alphas of these funds in 2022.
Provide an interpretation of the evidence about market efficiency and persistence in performance
based on the graph below. (7 points)
Annualized alphas by month since
portfolio ranking
Using data for 2021, suppose a researcher analyzes mutual fund returns

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