Winners and losers: German equity mutual funds

Abstract

This is the accepted version of the paper.This version of the publication may differ from the final published version. We investigate the performance of winners and losers for German equity mutual funds (1990)(1991)(1992)(1993)(1994)(1995)(1996)(1997)(1998)(1999)(2000)(2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009) using empirical order statistics. When using gross returns and the Fama-French three factor (3F) model, the number of statistically significant positive-alpha funds is zero but increases markedly when market timing variables are added. However, when using a "total performance" measure (which incorporates both alpha and the contribution of market timing), the number of statistically significant winner funds falls to zero. The latter is consistent with bias in estimated alphas in the presence of market timing. We also find that many poorly performing funds are unskilled rather than unlucky. Permanent

Gender, style diversity, and their effect on fund performance

“…Specifically, Panel A shows that the number of funds with statistically significant positive alphas is slightly lower than according to the single factor model estimates (116 instead of 120) while the number of funds that underperform is higher (12 as opposed to 9). This finding is consistent with the vast literature suggesting that the omission of known risk factors that are priced in financial markets (Fama and French, 1993) can severely bias inference during the fund performance evaluation process, as well as with the results of Cuthbertson and Nitzsche (2013) for the German market. Interestingly, Panel A of Table 8, where the estimated parameters of Eq.…”