Exposing Survivorship Bias in Mutual Fund Data
We revisit survivorship bias within domestic equity mutual funds from the middle of 1998 to the middle of 2004. Using Morningstar Principia and tracking both disappearing funds and name changes, we report a statistically significant performance difference between the complete sample and the survivor...
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| Veröffentlicht in: | The Journal of business and economic studies (Fairfield, Conn.) Conn.), 2007-04, Vol.13 (1), p.22 |
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| container_title | The Journal of business and economic studies (Fairfield, Conn.) |
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| creator | Bu, Qiang Nelson, Lacey |
| description | We revisit survivorship bias within domestic equity mutual funds from the middle of 1998 to the middle of 2004. Using Morningstar Principia and tracking both disappearing funds and name changes, we report a statistically significant performance difference between the complete sample and the survivorship-biased sample. We correlate this potential for a disproportional weighting of better performing funds to market conditions and show that changes in stock market indices and interest rates have a bearing on the level of survivorship bias. We also analyze the time series properties of survivorship and demonstrate that mutual fund survivorship bias follows a mean-reverting process. [PUBLICATION ABSTRACT] |
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| identifier | ISSN: 1063-343X |
| ispartof | The Journal of business and economic studies (Fairfield, Conn.), 2007-04, Vol.13 (1), p.22 |
| issn | 1063-343X 2576-3458 |
| language | eng |
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| source | Business Source Complete |
| subjects | Bias Bull markets Correlation analysis Estimates Growth funds Investments Mutual funds Name changes Scandals Securities markets Studies |
| title | Exposing Survivorship Bias in Mutual Fund Data |
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