TY - JOUR
T1 - New evidence on mutual fund performance
T2 - a comparison of alternative bootstrap methods
AU - Blake, D.
AU - Caulfield, Tristan
AU - Ioannidis, Christos
AU - Tonks, Ian
PY - 2017/6/1
Y1 - 2017/6/1
N2 - 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.
AB - 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.
UR - https://www.scopus.com/pages/publications/85019028577
U2 - 10.1017/S0022109017000229
DO - 10.1017/S0022109017000229
M3 - Article
SN - 0022-1090
VL - 52
SP - 1279
EP - 1299
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 3
ER -