Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences
Review of Finance 2011, 15 (2), 441-474
53 Pages Posted: 8 Mar 2008 Last revised: 18 Mar 2018
Date Written: September 9, 2010
This is the first paper systematically calculating, testing and explaining different definitions of the survivorship bias in fund performance. We document that the survival-performance-relation is stronger for small funds and we find under-performance of non-survivors but no significant out-performance of new funds. Survivorship bias is still a problem as well in other fields of research, e.g., in countries where survivorship bias-free data is not available and because certain methods require truncated data. This paper privides guidance on how to deal with and reduce survivorship bias in empirical studies.
Keywords: Mutual Fund Performance, Survivorship Bias
JEL Classification: G11, G12
Suggested Citation: Suggested Citation