Skill or Luck of Dutch equity mutual funds

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.