December 2012
Beginner
724 pages
22h 1m
English
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Chapter 6
Performance Evaluation of Non-Normal Portfolios
Abstract
This chapter presents an advanced approach to computing the statistical significance of the estimated performance of a fund manager—the “bootstrap approach”. A bootstrap approach is necessary because the cross-section of most managed fund alphas (such as those of a group of ranked mutual funds or hedge funds) has a complex nonnormal distribution due to heterogeneous risk-taking by funds as well as nonnormalities in individual fund alpha distributions. To illustrate the approach, this chapter applies this bootstrap to examine the performance of the U.S. open-end, domestic equity mutual fund industry over the 1975 to 2002 period. The bootstrap approach uncovers findings that differ ...
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