City Research Online

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.

Publication Type:	Article
Additional Information:	COPYRIGHT: © Michael G. Foster School of Business, University of Washington 2017
Publisher Keywords:	mutual funds, unit trusts, open ended investment companies, performance measurement, factor benchmark models, bootstrap methods
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance
SWORD Depositor:	Symplectic Administrator

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