Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences

Rohleder M, Scholz H, Wilkens M (2011)

Publication Language: English

Publication Type: Journal article

Publication year: 2011

Journal

Review of Finance Oxford University Press (OUP): Policy F - Oxford Open Option D

Publisher: Oxford University Press (OUP): Policy F - Oxford Open Option D

Book Volume: 15

Pages Range: 441-474

Journal Issue: 2

DOI: 10.1093/rof/rfq023

Abstract

This is the first paper systematically calculating, testing and explaining different definitions of the survivorship bias in fund performance. We document that the survival-performance-relation is stronger for small funds and we find significant under-performance of non-survivors but no significant out-performance of new funds. Survivorship bias is still a problem as well in other fields of research, e.g., in countries where survivorship bias-free data is not available and because certain methods require truncated data. This paper provides guidance on how to deal with and reduce survivorship bias in empirical studies.

Authors with CRIS profile

Hendrik Scholz Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken

Involved external institutions

Universität Augsburg DE Germany (DE)

How to cite

APA:

Rohleder, M., Scholz, H., & Wilkens, M. (2011). Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences. Review of Finance, 15(2), 441-474. https://dx.doi.org/10.1093/rof/rfq023

MLA:

Rohleder, Martin, Hendrik Scholz, and Marco Wilkens. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences." Review of Finance 15.2 (2011): 441-474.

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