A reappraisal of luck versus skill in the cross-section of mutual fund returns

Rong Huang, Dimitrios Asteriou, William Pouliot

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


The first contribution we make to research on measuring U.S. mutual fund performance is to show that the cross-section bootstrap procedure used in one prominent publication on this topic can easily accommodate conditional asset pricing models. Using this result, we re-estimate US fund performance using the conditional asset pricing model of Ferson and Schadt(1996) for the period of time covering January 1984 to September 2006, the same period of time used in this prominent publication. Unlike most of the current research on the performance of U.S. mutual funds, including the latter research, the estimates of fund performance produced here suggest that some funds, on a net return basis, performed very well over this period. Our second contribution is to update the U.S. mutual fund data to the end of 2018 and then to re-estimate fund performance over this longer period of time. These results show that fund performance, on a net return basis, is poor, confirming the findings of previous research that used data ending before 2018. The third contribution is to provide a detailed guide on how the mutual fund data widely used in this literature is constructed. Until now much of the information required to do this has not been made widely available. Our last contribution is to make some policy recommendations that should better align fund manager incentives with the interests of investors, an alignment which current practices have hindered.

Original languageEnglish
Pages (from-to)166-187
Number of pages22
JournalJournal of Economic Behavior & Organization
Early online date12 Jun 2020
Publication statusPublished - Aug 2020


  • Mutual funds
  • Capital asset pricing model
  • Bootstrap resampling
  • Mutual Funds
  • Bootstrap
  • Capital Asset Pricing Model

ASJC Scopus subject areas

  • Economics and Econometrics
  • Organizational Behavior and Human Resource Management


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