False discoveries in UK mutual fund performance

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dc.contributor.authorCuthbertson, Keith
dc.contributor.authorNitzsche, Dirk
dc.contributor.authorO'Sullivan, Niall
dc.contributor.funderIrish Research Council for Humanities and Social Sciencesen
dc.date.accessioned2013-11-26T13:03:51Z
dc.date.available2013-11-26T13:03:51Z
dc.date.issued2012-06
dc.date.updated2013-05-28T15:04:45Z
dc.description.abstractWe use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds. Using all funds, we find a relatively high FDR for the best funds of 32.8% (at a 5% significance level), which implies that only around 3.7% of all funds truly outperform their benchmarks. For the worst funds the FDR is relatively small at 7.6% which results in 22% of funds which truly underperform their benchmarks. For different investment styles, this pattern of very few genuine winner funds is repeated for all companies, small companies and equity income funds. Forming portfolios of funds recursively for which the FDR is controlled at a ‘acceptable’ value, produces no performance persistence for positive alpha funds and weak evidence of persistence for negative alpha funds.en
dc.description.statusPeer revieweden
dc.description.versionSubmitted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationCUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2012. False Discoveries in UK Mutual Fund Performance. European Financial Management, 18, 444-463. doi: 10.1111/j.1468-036X.2009.00536.xen
dc.identifier.doi10.1111/j.1468-036X.2009.00536.x
dc.identifier.endpage463en
dc.identifier.issn1468-036X
dc.identifier.issued3en
dc.identifier.journaltitleEuropean Financial Managementen
dc.identifier.startpage444en
dc.identifier.urihttps://hdl.handle.net/10468/1267
dc.identifier.volume18en
dc.language.isoenen
dc.publisherBlackwell Publishing Ltden
dc.relation.urihttp://onlinelibrary.wiley.com/doi/10.1111/j.1468-036X.2009.00536.x/full
dc.rights© 2010 Blackwell Publishing Ltd. This is the pre-peer reviewed version of the following article: CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2012. False Discoveries in UK Mutual Fund Performance. European Financial Management, 18, 444-463 which has been published in final form at http://dx.doi.org/10.1111/j.1468-036X.2009.00536.xen
dc.subjectMutual fund performanceen
dc.subjectFalse discovery rateen
dc.subjectC15en
dc.subjectG11en
dc.subjectC14en
dc.titleFalse discoveries in UK mutual fund performanceen
dc.typeArticle (peer-reviewed)en
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