Big Data Analytics

Data Quality • 399

managers, but we do not need to invoke skill to explain the vast majority

of managed fund performance. While Fama and French do leave the door

open for skill, it need not be any more than a minor player in explaining

fund results.

A 2002 study by Mark Carhart of Goldman Sachs, Jennifer Carpenter

and Anthony Lynch of New York University, and David Musto of the

University of Pennsylvania demonstrated empirical evidence of survivor-

ship bias.

Evidence suggests that funds disappear following poor multi-year perfor-

mance… [W]e demonstrate both analytically and empirically that this

survival rule typically causes the bias in estimates of average annual per-

formance to increase in the sample length, at a declining rate.

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