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Journal of Financial and Quantitative Analysis Vol. 52 No. 3 2017

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

David Blake1,2,3; Tristan Caulfield; Christos Ioannidis; Ian Tonks

1 City, University of London · 2 University College London · 3 University of Bath

open access

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.

DOI
10.1017/s0022109017000229
Volume
52
Issue
3
Pages
1279-1299
Language
en
Sources
openalex crossref bibtex:phds-export.bib

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