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 positive rates in the studied population are found to be approximately 20% for gross returns, and 55% for net returns, and respectively 6% and 22% in the case of false negative rates across all factor models. Contrast to negative FDRs, positive FDRs exhibit abnormality among funds from before 2008, and greatly vary across fund groups. In addition, different bootstrap methods confirm the existence of manager stock-picking skill among the fund sample.

Name thesis:degree_name

M.Sc. Management

Level thesis:degree_level

Masters

Discipline thesis:degree_discipline

Faculty of Business

Department dc:contributor.department

Faculty of Business Programs

Grantor

Brock University

Year dc:date.issued

2018

Author dc:creator

• Tran, Nhan

• Equity Mutual Funds, False Discovery Rate, Bootstrap, Benchmark Models

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/10464/13817

OAI identifier oai:identifier

oai:brocku.scholaris.ca:10464/13817