New evidence on mutual fund performance:a comparison of alternative bootstrap methods

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.

Publication DOI: https://doi.org/10.1017/S0022109017000229
Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > Aston Business School > Centre for Personal Financial Wellbeing
College of Business and Social Sciences > Aston Business School
Additional Information: This article has been published in a revised form in Journal of Financial and Quantitative Analysis http://dx.doi.org/10.1017/S0022109017000229. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © Michael G. Foster School of Business, University of Washington 2017. Funding: Economic and Social Research Council (ESRC) Business Fellow at the United Kingdom’s Financial Services Authority (FSA) in 2009 (RES-186-27-0014).
Publication ISSN: 1756-6916
Last Modified: 17 Jun 2024 07:23
Date Deposited: 07 Mar 2017 15:15
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Related URLs: https://www.cam ... A29433CF4AA6BBE (Publisher URL)
PURE Output Type: Article
Published Date: 2017-06-01
Published Online Date: 2017-05-08
Accepted Date: 2015-10-23
Authors: Blake, David
Caulfield, Tristan
Ioannidis, Christos
Tonks, Ian

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