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- Title
Do Persistent Fund Alphas Indicate Manager Skill?
- Authors
Qiang Bu
- Abstract
This paper examines whether long-term fund alphas come from manager skill or puck. Using a group of bootstrapped winner funds as the benchmark, we compared the actual winner funds with the benchmark. We find evident differences between them in regards to return distribution properties, market exposure, alpha consistency, and portfolio holdings. In addition, persistent winner funds exhibit distinct fund-specific characteristics from other funds. We conclude that persistent fund alpha is earned by manager skill instead of pure luck.
- Subjects
MUTUAL funds; ECONOMIC indicators; STATISTICAL bootstrapping; MARKET exposure (Investments); INVESTMENT policy
- Publication
Proceedings of the Northeast Business & Economics Association, 2017, p51
- ISSN
1936-203X
- Publication type
Article