False Discoveries in UK Mutual Fund Performance
We use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds. Using all funds, we find a relatively high FDR for the best funds of 32.8% (at a 5% significance level), which implies that only around 3.7% of all funds truly outperform their b...
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| Veröffentlicht in: | European financial management : the journal of the European Financial Management Association 2012-06, Vol.18 (3), p.444-463 |
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| container_title | European financial management : the journal of the European Financial Management Association |
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| creator | Cuthbertson, Keith Nitzsche, Dirk O'Sullivan, Niall |
| description | We use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds. Using all funds, we find a relatively high FDR for the best funds of 32.8% (at a 5% significance level), which implies that only around 3.7% of all funds truly outperform their benchmarks. For the worst funds the FDR is relatively small at 7.6% which results in 22% of funds which truly underperform their benchmarks. For different investment styles, this pattern of very few genuine winner funds is repeated for all companies, small companies and equity income funds. Forming portfolios of funds recursively for which the FDR is controlled at a ‘acceptable’ value, produces no performance persistence for positive alpha funds and weak evidence of persistence for negative alpha funds. |
| doi_str_mv | 10.1111/j.1468-036X.2009.00536.x |
| format | Article |
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Forming portfolios of funds recursively for which the FDR is controlled at a ‘acceptable’ value, produces no performance persistence for positive alpha funds and weak evidence of persistence for negative alpha funds.</description><subject>Benchmarking</subject><subject>Benchmarks</subject><subject>C14</subject><subject>C15</subject><subject>Equity</subject><subject>False discovery rate</subject><subject>Financial performance</subject><subject>G11</subject><subject>Hypothesis</subject><subject>Hypothesis testing</subject><subject>Income funds</subject><subject>Investment</subject><subject>Mutual fund performance</subject><subject>Mutual funds</subject><subject>Portfolio analysis</subject><subject>Return on investment</subject><subject>Securities markets</subject><subject>Studies</subject><subject>United Kingdom</subject><issn>1354-7798</issn><issn>1468-036X</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><recordid>eNqNkM9PwjAUgBejiYj-D0u8eNl4Xfu27uDBIEMj-CsQvDVldMnm2LBlCv-9nTMcPNlLX9Lva14-x3EJ-MSeQeETFnIPaPjmBwCxD4A09HdHTu_wcGxnisyLopifOmfGFADAEHnPGSSyNMq9zU1afyqdK-PmlTt_cKfNtpGlmzTVyn1WOqv1WlapOndOsta4-L37zjwZzYZ33uRpfD-8mXgpchJ6kkJI6BKXnMZIVzGVRLE0pFyukCgMaEYUEBZLHgDNGANQS45IYoqgkHPad666fze6_miU2Yq1XVGVpaxU3RhBgAeEMWRo0cs_aFE3urLbWYowQgEDZineUamujdEqExudr6XeW0i0JUUh2mCiDSbakuKnpNhZ9bpTv_JS7f_tidE8mdrJ-l7n52ardgdf6ncRRjRCsXgcixl_CcIFgHil31PahQE</recordid><startdate>201206</startdate><enddate>201206</enddate><creator>Cuthbertson, Keith</creator><creator>Nitzsche, Dirk</creator><creator>O'Sullivan, Niall</creator><general>Blackwell Publishing Ltd</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>201206</creationdate><title>False Discoveries in UK Mutual Fund Performance</title><author>Cuthbertson, Keith ; Nitzsche, Dirk ; O'Sullivan, Niall</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5816-a30613b5b83953d93a1e4c638ad51e523f1e0149a8203f4400eb85519350e5883</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Benchmarking</topic><topic>Benchmarks</topic><topic>C14</topic><topic>C15</topic><topic>Equity</topic><topic>False discovery rate</topic><topic>Financial performance</topic><topic>G11</topic><topic>Hypothesis</topic><topic>Hypothesis testing</topic><topic>Income funds</topic><topic>Investment</topic><topic>Mutual fund performance</topic><topic>Mutual funds</topic><topic>Portfolio analysis</topic><topic>Return on investment</topic><topic>Securities markets</topic><topic>Studies</topic><topic>United Kingdom</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Cuthbertson, Keith</creatorcontrib><creatorcontrib>Nitzsche, Dirk</creatorcontrib><creatorcontrib>O'Sullivan, Niall</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>European financial management : the journal of the European Financial Management Association</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Cuthbertson, Keith</au><au>Nitzsche, Dirk</au><au>O'Sullivan, Niall</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>False Discoveries in UK Mutual Fund Performance</atitle><jtitle>European financial management : the journal of the European Financial Management Association</jtitle><date>2012-06</date><risdate>2012</risdate><volume>18</volume><issue>3</issue><spage>444</spage><epage>463</epage><pages>444-463</pages><issn>1354-7798</issn><eissn>1468-036X</eissn><abstract>We use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds. 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| identifier | ISSN: 1354-7798 |
| ispartof | European financial management : the journal of the European Financial Management Association, 2012-06, Vol.18 (3), p.444-463 |
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| source | EBSCOhost Business Source Complete; Wiley Online Library All Journals |
| subjects | Benchmarking Benchmarks C14 C15 Equity False discovery rate Financial performance G11 Hypothesis Hypothesis testing Income funds Investment Mutual fund performance Mutual funds Portfolio analysis Return on investment Securities markets Studies United Kingdom |
| title | False Discoveries in UK Mutual Fund Performance |
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