Long-term negative fund alpha: Is it caused by bad skill or bad luck?

Qiang Bu

doi:10.1007/s11408-017-0303-2

Long-term negative fund alpha: Is it caused by bad skill or bad luck?

Qiang Bu

School of Business Administration (Harrisburg)

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	1-16
Number of pages	16
Journal	Financial Markets and Portfolio Management
Volume	32
Issue number	1
DOIs	https://doi.org/10.1007/s11408-017-0303-2
State	Published - Feb 1 2018

All Science Journal Classification (ASJC) codes

Accounting
Finance

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10.1007/s11408-017-0303-2

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title = "Long-term negative fund alpha: Is it caused by bad skill or bad luck?",

abstract = "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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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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Long-term negative fund alpha: Is it caused by bad skill or bad luck?

Abstract

All Science Journal Classification (ASJC) codes

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