Survivorship Bias and Mutual Fund Performance PDF Download
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Author: Martin Rohleder
Publisher:
ISBN:
Category :
Languages : de
Pages :
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Author: Martin Rohleder
Publisher:
ISBN:
Category :
Languages : de
Pages :
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Author: Edwin J. Elton
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Mutual fund attrition can create problems for a researcher, because funds that disappear tend to do so due to poor performance. In this paper 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.
Author: Martin Rohleder
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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This is the first paper systematically calculating, testing and explaining different definitions of the survivorship bias in fund performance. We document that the survival-performance-relation is stronger for small funds and we find under-performance of non-survivors but no significant out-performance of new funds. Survivorship bias is still a problem as well in other fields of research, e.g., in countries where survivorship bias-free data is not available and because certain methods require truncated data. This paper privides guidance on how to deal with and reduce survivorship bias in empirical studies.
Author: Xinghua Liang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 0
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This paper examines the influence of the survivorship bias on performance persistence in Canadian mutual funds. Our sample covers the period of January 1986 till December 1999. Spreads of the survivorship bias on mutual fund returns are gauged by comparing the difference between the sample of surviving funds and the sample of surviving and defunct funds. The comparisons are conducted first only on equity funds, and later on funds in all categories. Contingency tables are used to address the question of performance persistence. Cross Product Ratios (CPR) are obtained for all funds, active and inactive, on an annual basis. Probit models are used to explore the odds of and factors that contribute to the disappearance of funds. Major findings of this study are as follows. The effects of the survivorship bias on Canadian mutual funds are nontrivial. Persistence of fund performance has been found, while reversals are also observed. The persistence is correlated across managers; this may be due to certain common factors. An examination of fund disappearance in the probit models indicates that funds' return, size, and expense ratios are significant predictors of fund's attrition, while the optional sales charges, whether a fund is affiliated with an insurance company, and how long the fund has been in existence are also significant other factors. These results are consistent with those reported for the US mutual fund industry.
Author: Edwin J. Elton
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 45
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Author: Manju Punia Chopra
Publisher: LAP Lambert Academic Publishing
ISBN: 9783847347828
Category :
Languages : en
Pages : 88
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This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
Author: Mark Monroe Carhart
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 322
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Author: Mark M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages : 161
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Author: William N. Goetzmann
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 48
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Author: Mark M. Carhart
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 161
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