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New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

Blake, D; Caulfield, T; Ioannidis, C; Tonks, I; (2017) New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. Journal of Financial and Quantitative Analysis , 52 (3) pp. 1279-1299. 10.1017/S0022109017000229. Green open access

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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, 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.

Type: Article
Title: New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods
Open access status: An open access version is available from UCL Discovery
DOI: 10.1017/S0022109017000229
Publisher version: http://doi.org/10.1017/S0022109017000229
Language: English
Additional information: This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10023444
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