Abstract
We compare two bootstrap methods for assessing mutual fund performance. The first produces narrow confidence intervals due to pooling over time, whereas the second produces wider confidence intervals because it preserves the cross correlation of fund returns. We then show that the average U.K. equity mutual fund manager is unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross returns.
| Original language | English |
|---|---|
| Pages (from-to) | 1279-1299 |
| Number of pages | 21 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 52 |
| Issue number | 03 |
| Early online date | 8 May 2017 |
| DOIs | |
| Publication status | Published - 1 Jun 2017 |
Research Groups and Themes
- AF Financial Markets
Keywords
- mutuals
- fund performance
- manager skills
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Dive into the research topics of 'New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods'. Together they form a unique fingerprint.Profiles
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Professor Ian Tonks
- School of Accounting and Finance - Business School - Professor of Finance
Person: Academic