Skill or Luck of Dutch equity mutual funds
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2021-08-20
Language
en
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Abstract
This thesis applies a bootstrap residual resampling algorithm to assess if the performance of Dutch
mutual equity funds is due to skill or luck. Unlike the parametric method, bootstrapping has the
advantage of taking the non-normal alpha distribution into account that arises due to idiosyncratic
risk-taking of individual mutual funds. This distinction is highly relevant since investors want to
know if they can better take a passive or active investing approach. The study finds evidence of both
positive and negative stock-picking skills among Dutch mutual funds, albeit luck explains the
performance of most funds in the sample.
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Faculteit der Managementwetenschappen