Survivorship bias and attrition effects in measures of performance persistence
通过模拟不同收益生成过程和生存标准，检验了幸存者偏差和基金流失对业绩持续性度量的影响，发现生存依赖多期业绩时偏差会导致虚假反转，并证实美国共同基金业绩确实具有持续性。
We simulate standard tests of performance persistence using 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. Look-ahead biased methodologies and missing final returns typical of U.S. mutual fund datasets can also materially affect persistence measures. Our results reinforce previous findings that U.S. mutual fund performance is truly persistent. When fund performance is truly persistent, fund attrition affects persistence measures, even when the sample includes all nonsurvivor returns. We also examine the specification and power of the various persistence tests.