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Showing 1 to 1 of 1 for “"Equity Mutual Funds, False Discovery Rate, Bootstrap, Benchmark Models"”.
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False Discoveries in the Performance of Canadian Equity Mutual Funds
This thesis assesses the performance of Canadian equity mutual funds over the period 1991-2016 using the False Discovery Rate (FDR) methodolody. We find that around 85% of the sampled funds are genuinely zero-alpha, and the majority of skilled funds lies in the extreme right tail. Overall, false …