Survivorship Bias and Mutual Fund Performance

Survivorship Bias and Mutual Fund Performance

Mutual fund attrition can create problems for a researcher because funds that disappear tend to do so due to poor performance. In this article we estimate the size of the bias by tracking all funds that existed at the end of 1976. When a fund merges we calculate the return, taking into account the m...

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Veröffentlicht in:The Review of financial studies 1996, Vol.9 (4), p.1097-1120
Hauptverfasser: Elton, Edwin J., Gruber, Martin J., Blake, Christopher R.
Format: Artikel
Sprache:eng
Schlagworte:
Bias
Bond funds
Common stock
Economic performance
Estimates
Estimation bias
Financial investments
Index funds
Investment funds
Investment policy
Investment trusts
Management
Mergers
Mutual funds
Net assets
Reinvestment
Sampling bias
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Beschreibung
Zusammenfassung:Mutual fund attrition can create problems for a researcher because funds that disappear tend to do so due to poor performance. In this article we estimate the size of the bias by tracking all funds that existed at the end of 1976. When a fund merges we calculate the return, taking into account the merger terms. This allows a precise estimate of survivorship bias. In addition, we examine characteristics of both mutual funds that merge and their partner funds. Estimates of survivorship bias over different horizons and using different models to evaluate performance are provided.
ISSN:0893-9454
1465-7368
DOI:10.1093/rfs/9.4.1097