TY - JOUR
T1 - Long-term negative fund alpha
T2 - Is it caused by bad skill or bad luck?
AU - Bu, Qiang
N1 - Publisher Copyright:
© 2018, Swiss Society for Financial Market Research.
PY - 2018/2/1
Y1 - 2018/2/1
N2 - This paper examines the sources of long-term negative fund alpha. We compare the actual loser funds with a control group of bootstrapped loser funds. We find that the returns of the two fund groups are co-integrated, and that they are similar in market risk exposure, alpha consistency, portfolio holdings, and GARCH volatility. The test results show that long-term negative fund alpha occurs due to bad luck rather than to bad skill.
AB - This paper examines the sources of long-term negative fund alpha. We compare the actual loser funds with a control group of bootstrapped loser funds. We find that the returns of the two fund groups are co-integrated, and that they are similar in market risk exposure, alpha consistency, portfolio holdings, and GARCH volatility. The test results show that long-term negative fund alpha occurs due to bad luck rather than to bad skill.
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U2 - 10.1007/s11408-017-0303-2
DO - 10.1007/s11408-017-0303-2
M3 - Article
AN - SCOPUS:85042411041
SN - 1934-4554
VL - 32
SP - 1
EP - 16
JO - Financial Markets and Portfolio Management
JF - Financial Markets and Portfolio Management
IS - 1
ER -