Blake, David, Caulfield, Tristan, Ioannidis, Christos and Tonks, Ian (2017). New evidence on mutual fund performance:a comparison of alternative bootstrap methods. Journal of Financial and Quantitative Analysis, 52 (3), pp. 1279-1299.
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 |
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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: | 30 Sep 2024 11:00 |
Date Deposited: | 07 Mar 2017 15:15 |
Full Text Link: | |
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 |