Mutual Fund Performance : Skill or Luck ? ’ 1 Version : February 2005 MUTUAL FUND PERFORMANCE : SKILL OR LUCK ?

@inproceedings{Cuthbertson2005MutualFP,
  title={Mutual Fund Performance : Skill or Luck ? ’ 1 Version : February 2005 MUTUAL FUND PERFORMANCE : SKILL OR LUCK ?},
  author={K. E. S. Cuthbertson and Dirk Nitzsche and Niall J. O’Sullivan},
  year={2005}
}
Using a comprehensive data set on (surviving and non-surviving) UK mutual funds (April 1975 – December 2002), we use a bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. This methodology allows for non-normality in the idiosyncratic risks of the funds – a major issue when considering those funds which appear to be either very good performers or very bad performers, since these are the funds which investors are primarily interested in identifying. Our study… CONTINUE READING
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