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Digital Library of the
European Council for Modelling and Simulation |
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Title: |
Selecting Mutual Fund Persistence: The
German Case Discovering Persistent Managers In Germany |
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Authors: |
Jorge Sainz, Javier Otamendi, Pilar Grau, Luis Miguel Doncel |
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Published in:
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ECMS
2008 Proceedings Edited
by: Loucas S. Louca, Yiorgos Chrysanthou, Zuzana Oplatkova, Khalid Al-Begain ISBN:
978-0-9553018-6-5 Doi: 10.7148/2008 22nd
European Conference on Modelling and Simulation, Nicosia, June
3-6, 2008 |
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Citation
format: |
Sainz, J., Otamendi, J., Grau, P., & Doncel,
L. M. (2008). Selecting
Mutual Fund Persistence: The German Case Discovering Persistent Managers In
Germany. ECMS 2008 Proceedings edited by: L. S. Louca,
Y. Chrysanthou, Z. Oplatkova,
K. Al-Begain (pp.
345-350). European Council for Modeling and Simulation. doi:10.7148/2008-0345 |
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DOI: |
http://dx.doi.org/10.7148/2008-0345 |
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Abstract: |
In mutual fund industry, managers’
ability to generate continuous value in excess compared with the benchmark
index is a crucial aspect. Focusing on the German market in this research we
apply several methods which let us to avoid
statistical problems related to multiple hypothesis testing in traditional
financial techniques. By doing so we obtain a threshold value λ that
delimits what is considered the true null hypothesis. Our main result is that
managers’ action is of little significance with only a small part of them
adding excess value to mutual funds they run. |
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Full
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