Survivorship Bias in Persistence of Mutual Funds Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Survivorship Bias in Persistence of Mutual Funds Returns PDF full book. Access full book title Survivorship Bias in Persistence of Mutual Funds Returns by Svetla Kirilova Tzenova. Download full books in PDF and EPUB format.
Author: Svetla Kirilova Tzenova
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
Get Book Here
Book Description
Author: Svetla Kirilova Tzenova
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
Get Book Here
Book Description
Author: Xinghua Liang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 0
Get Book Here
Book Description
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: Mark Monroe Carhart
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 322
Get Book Here
Book Description
Author: Manju Punia Chopra
Publisher: LAP Lambert Academic Publishing
ISBN: 9783847347828
Category :
Languages : en
Pages : 88
Get Book Here
Book Description
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 M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages : 161
Get Book Here
Book Description
Author: Jennifer N. Carpenter
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
Get Book Here
Book Description
We generate samples of fund returns calibrated to match the U.S. mutual fund industry and simulate standard tests of performance persistence. We consider a variety of alternative return generating processes, survival criteria, and test methodologies. When survival depends on performance over several periods, survivorship bias induces spurious reversals, despite the presence of cross-sectional heteroskedasticity in performance. In samples which are largely free of survivorship bias, look-ahead biased methodologies and missing returns still affect statistics. In samples with no true persistence, the spurious persistence caused by survivorship bias in the presence of single-period survival criteria never reaches the magnitude found in recent empirical studies. When fund returns are truly persistent, the simulations reveal an attrition effect, distinct from survivorship bias. The systematic disappearance of poor performers causes mean persistence measures to differ from those in a hypothetical sample in which funds never disappear, even in tests which incorporate all data on disappearing funds. The magnitude and direction of this effect depends on the return generating process. We also examine the specification and power of the persistence tests. The t-test for the difference between top and bottom portfolios ranked by past performance is the best specified under the null and among the most powerful against the alternatives we consider.
Author: Mark M. Carhart
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 161
Get Book Here
Book Description
Author: Mark M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) quot;hot handsquot; result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.
Author: Mark M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages : 51
Get Book Here
Book Description
Survivorship induces a variety of biases in mutual fund research. I show analytically that biases in performance estimates depend on sample length and whether funds disappear after one or many poor returns. Using a sample free of survivor bias, I document higher risk and predominantly multiple-year underperformance in nonsurviving funds. This causes the bias in mean return estimates to increase in the time-length of the sample. In my data set, the bias is 0.43 percent per year in five-year samples and approximately one percent for samples longer than fifteen years. I also find downward bias in persistence tests and both upward and downward bias in the relations between performance and fundattributes depending on the type of selection bias. The results cast doubt on the conclusions of many published mutual fund studies.
Author: Edwin J. Elton
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
Get Book Here
Book Description
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.
