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
Hauptverfasser:	Cuthbertson, Keith, Nitzsche, Dirk, O'Sullivan, Niall
Format:	Artikel
Sprache:	eng
Schlagworte:	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
Online-Zugang:	Volltext
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