New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods
比较两种自助法在评估共同基金表现时的差异，发现英国股票型基金在扣除费用后均无法跑赢市场，即使考虑费用前，多数基金经理也无法超越运气分布。
We compare two bootstrap methods for assessing mutual fund performance. The first produces narrow confidence intervals due to pooling over time, whereas the second produces wider confidence intervals because it preserves the cross correlation of fund returns. We then show that the average U.K. equity mutual fund manager is unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross returns.