The truth about mutual funds across Europe

Luis Doncel Pedrera (), Pilar Grau, J. Otamendi and Jorge Sainz ()

Applied Economics Letters, 2011, vol. 18, issue 7, 687-692

Abstract: Traditional measures of mutual funds persistence are based on measures like Jensen's alpha, factor models and so on. As expected, their results on a broad data-set of European mutual funds show a small, but relevant, amount of persistent funds, depending on the method of estimation used. We go further in our analysis and, by using a multiple hypothesis testing methodology, find that those measures overstate the performance on the sample across countries, signalling persistence in situations where the positive results are due to luck.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:7:p:687-692

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DOI: 10.1080/13504851.2010.487820

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