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

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

Research output: Contribution to journalArticle

  • 5 Citations

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.
LanguageEnglish
Pages1-21
JournalJournal of Financial and Quantitative Analysis
Volume52
Issue number3
Early online date8 May 2017
DOIs
StatusPublished - 1 Jun 2017

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Mutual fund performance
Bootstrap
Fund managers
Bootstrap method
Confidence interval
Fees
Mutual funds
Pooling
Cross-correlation
Equity
Luck

Cite this

New evidence on mutual fund performance : a comparison of alternative bootstrap methods. / Blake, D.; Caulfield, Tristan; Ioannidis, Christos; Tonks, Ian.

In: Journal of Financial and Quantitative Analysis, Vol. 52, No. 3, 01.06.2017, p. 1-21.

Research output: Contribution to journalArticle

Blake, D. ; Caulfield, Tristan ; Ioannidis, Christos ; Tonks, Ian. / New evidence on mutual fund performance : a comparison of alternative bootstrap methods. In: Journal of Financial and Quantitative Analysis. 2017 ; Vol. 52, No. 3. pp. 1-21.
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