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

D. Blake; Tristan Caulfield; Christos Ioannidis; Ian Tonks

doi:10.1017/S0022109017000229

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

D. Blake, Tristan Caulfield, Christos Ioannidis, Ian Tonks

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Abstract

We compare two bootstrap methods for assessing mutual fund performance. The first produces narrow confidence intervals due to pooling over time, while the second produces wider confidence intervals because it preserves the cross-correlation of fund returns. We then show that the average UK 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	3
Early online date	8 May 2017
DOIs	https://doi.org/10.1017/S0022109017000229
Publication status	Published - 1 Jun 2017

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This article has been published in Journal of Financial and Quantitative Analysis https://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.
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Cite this

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

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