- Bootstrap analysis of mutual fund performance
- Haitao Huang, Lei Jiang, Xuan Leng, Liang Peng
- Journal of Econometrics Available online 14 May 2022
- #002601 20220609 () Views:19861
- We study bootstrap methods for fund performance evaluation. We first show that two prominent bootstrap tests have biased test sizes in a large cross-section with short time series and lack test power to detect skilled funds when a substantial number of unskilled funds are present. We then develop the theory for a valid bootstrap Hotelling’s T-squared test for zero alpha. We apply the proposed bootstrap test in a practical two-step procedure to identify skilled funds. Our empirical analysis finds that skilled funds are more engaged in active management and hold stocks with higher expected anomalous returns.
- JEL-Codes:
- Keywords: Bootstrap; Edgeworth expansion; Hotelling's; T-squared test; Mutual fund performance
Download full text Downloads:0