Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power?
研究发现，Barras等人提出的虚假发现率方法在评估基金业绩时过于保守，低估了非零Alpha基金的比例，例如65%具有经济意义上大Alpha的基金被误判为零Alpha，原因是基金收益的低信噪比导致统计效力不足。
ABSTRACT Barras, Scaillet, and Wermers propose the false discovery rate (FDR) to separate skill (alpha) from luck in fund performance. Using simulations with parameters informed by the data, we find that this methodology is conservative and underestimates the proportion of nonzero‐alpha funds. For example, 65% of funds with economically large alphas of are misclassified as zero alpha. This bias arises from the low signal‐to‐noise ratio in fund returns and the resulting low statistical power. Our results question FDR's applicability in performance evaluation and other domains with low power, and can materially change the conclusion that most funds have zero alpha.