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

See all articles by Martin Rohleder

Martin Rohleder

University of Augsburg

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Marco Wilkens

University of Augsburg

Date Written: September 9, 2010

Abstract

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

Rohleder, Martin and Scholz, Hendrik and Wilkens, Marco, Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences (September 9, 2010). Review of Finance 2011, 15 (2), 441-474. Available at SSRN: https://ssrn.com/abstract=1101615

Martin Rohleder

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4120 (Phone)

Hendrik Scholz (Contact Author)

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

Marco Wilkens

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

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