tailieunhanh - UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck

The requirement for EU members to maintain a supportive framework for renewables is now underpinned by the Renewable Energy Directive (2009/28/EC). In 2009, the 27 EU member states formally committed to green energy production targets as set out in the directive. The Renewable Energy Directive incorporates a mandatory target of achieving a 20% share of energy from renewable sources in overall EU gross final energy consumption by 2020. This overall commitment has been broken down into individual targets for each member state, taking into account existing levels of renewable energy production and the potential for growth. These national targets represent. | UK Mutual Fund Performance Genuine Stock-Picking Ability or Luck Keith Cuthbertson1 Tanaka Business School Imperial College London Dirk Nitzsche1 Tanaka Business School Imperial College London Niall O Sullivan1 2 Department of Economics University College Cork Ireland email May 2004 Abstract We use a bootstrap technique to construct a distribution of abnormal performance among UK equity mutual funds under a null hypothesis of zero abnormal performance. Such a distribution of random sampling variation around no abnormal performance is employed as an estimate of or proxy for luck in mutual fund performance. Actual performance is then compared against this luck distribution. Using a number of alternative risk adjustment performance models we find that a small proportion of funds in the positive tail of a cross-sectional performance distribution produce a level of performance in excess of that which may be explained by good luck. Poor performance is generally found to be worse than bad luck. Please do not quote or reproduce without author permission. 1 2 1. The authors are grateful to Micropal for providing the mutual fund data set used in the analysis. 2. The author wishes to gratefully acknowledge financial support from the Arts Faculty Research Fund at University College Cork Ireland. 1 Section 1. Introduction This study examines the performance of open-end mutual funds investing in UK equity Unit Trusts and Open Ended Investment Companies OEICs during the period April 1975 to December 2002. A data set of 1 596 funds is examined. This represents almost the entire UK equity mutual fund industry at the end of the sample period. In contrast to the US mutual fund industry there have been comparatively few studies of the performance of UK unit trusts. Studies of UK unit trusts have for the most part examined issues such as overall fund performance relative to a benchmark market index survivor bias and performance persistence. A discussion of the .

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