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New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

  • David Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks


We compare two bootstrap methods for assessing mutual fund performance. The first produces narrow confidence intervals due to pooling over time, whereas the second produces wider confidence intervals because it preserves the cross correlation of fund returns. We then show that the average U.K. equity mutual fund manager is unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross returns.


Corresponding author

* Blake (corresponding author),, Cass Business School, City University of London; Caulfield,, University College London; Ioannidis,, Aston Business School, Aston University; and Tonks,, School of Management, University of Bath.


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The data set used in this paper was constructed while Tonks was an Economic and Social Research Council (ESRC) Business Fellow at the United Kingdom’s Financial Services Authority (FSA) in 2009 (RES-186-27-0014), and Tonks is obliged to the FSA’s Economics of Regulation Unit for hosting this visit. We are grateful for comments and discussion from Peter Andrews, Alok Bhargava, Stephen Brown (the editor), Qun Harris, Allan Timmermann, and Russell Wermers (the referee).

We direct your attention also to our Internet Appendix (available at that provides robustness tests of our findings.



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New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

  • David Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks


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