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

44 Pages Posted: 21 Oct 2015  

David P. Blake

City University London - Cass Business School - The Pensions Institute

Tristan Caulfield

University College London

Christos Ioannidis

University of Bath-Department of Economics

Ian Tonks

University of Bath School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: October 1, 2015

Abstract

We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006) produces narrow confidence intervals due to pooling over time, while Fama and French (2010) produces wider confidence intervals because it preserves the cross-correlation of fund returns. We then show that the average UK 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.

Keywords: mutual funds, unit trusts, open ended investment companies, performance measurement, factor benchmark models, bootstrap methods

JEL Classification: C15, C58, G11, G23

Suggested Citation

Blake, David P. and Caulfield, Tristan and Ioannidis, Christos and Tonks, Ian, New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods (October 1, 2015). Available at SSRN: https://ssrn.com/abstract=2676619 or http://dx.doi.org/10.2139/ssrn.2676619

David P. Blake (Contact Author)

City University London - Cass Business School - The Pensions Institute ( email )

London, EC2Y 8HB
Great Britain
+44 (0) 20-7040-5143 (Phone)
+44 (0) 20-7040-8881 (Fax)

Tristan Caulfield

University College London ( email )

Gower Street
London, WC1E 6BT
United Kingdom

Christos Ioannidis

University of Bath-Department of Economics ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

Ian Tonks

University of Bath School of Management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

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