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Rev Fin 1996; 9:1097-1120
© 1996 the Society for Financial Studies

Article

Survivor bias and mutual fund performance

EJ Elton, MJ Gruber and CR Blake1
Leonard N. Stern School of Business, New York University, 44 West 4th Street, 9th Floor, New York, NY 10012, USA
1 Fordham University

Abstract

Mutual fund attrition can create problems for a researcher because funds that disappear tend to do so due to poor performance. In this article we estimate the size of the bias by tracking all funds that existed at the end of 1976. When a fund merges we calculate the return, taking into account the merger terms. This allows a precise estimate of survivorship bias. In addition, we examine characteristics of both mutual funds that merger and their partner funds. Estimates of survivorship bias over different horizons and using different models to evaluate performance are provided.


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[Abstract] [Full Text] [PDF]


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