Bootstrap analysis of mutual fund performance-Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

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作者	Haitao Huang, Lei Jiang, Xuan Leng, Liang Peng
正文	We study bootstrap methods for fund performance evaluation. We first show that two prominent bootstrap tests have biased test sizes in a large cross-section with short time series and lack test power to detect skilled funds when a substantial number of unskilled funds are present. We then develop the theory for a valid bootstrap Hotelling’s T-squared test for zero alpha. We apply the proposed bootstrap test in a practical two-step procedure to identify skilled funds. Our empirical analysis finds that skilled funds are more engaged in active management and hold stocks with higher expected anomalous returns.
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关键词：	Bootstrap; Edgeworth expansion; Hotelling's; T-squared test; Mutual fund performance