Exposing Survivorship Bias in Mutual Fund Data

Qiang Bu; Lacey, Nelson
March 2007
Journal of Business & Economic Studies;Spring2007, Vol. 13 Issue 1, p22
Academic Journal
We revisit survivorship bias within domestic equity mutual funds from the middle of 1998 to the middle of 2004. Using Morningstar Principia and tracking both disappearing funds and name changes, we report a statistically significant performance difference between the complete sample and the survivorship-biased sample. We correlate this potential for a disproportional weighting of better performing funds to market conditions and show that changes in stock market indices and interest rates have a bearing on the level of survivorship bias. We also analyze the time series properties of survivorship and demonstrate that mutual fund survivorship bias follows a mean-reverting process.


Related Articles

  • MARKET COMMENTARY: Big bounce raises questions.  // Dow Theory Forecasts;3/23/2009, Vol. 65 Issue 12, p3 

    The article provides information on the guidelines depicted from Dow Theory regarding the movements of stock prices in the U.S. It notes that the guidelines are directed to identify the importance of the duration of the current rally and the action of other broader market. Moreover, it suggests...

  • WHEN WILL THE BEAR MARKET END? Feldman, Amy // Money;Sep2002, Vol. 31 Issue 9, p76 

    Discusses the stock market in light of the value of stock price indexes, which have fallen. Outlook for an ending to the bear market; Idea that stock values reflect the state of the economy; Economic data, such as interest rates, which are low; View that feelings of fear and valuations are...

  • Investing opportunity remain, but pick your spots. Hauke, Keenan // Indianapolis Business Journal;11/13/2006, Vol. 27 Issue 36, p39 

    The article looks at the performance of stocks in several countries in 2006. The Mexican and Spanish markets have been performing very well. China has frustrated many investors because of its mixed performance. Charts and a graph showing stock indexes and interest rates in Indianapolis for the...

  • Stock market signs indicate better days ahead. Hauke, Keenan // Indianapolis Business Journal;9/20/2004, Vol. 25 Issue 28, p35A 

    Focuses on the stocks market in Indiana and the U.S. as of September 15, 2004. Indiana Stock Index; Interest rates; Short-term trading opportunity in technology stocks.

  • Fund aims high.  // Accountancy;Oct93, Vol. 112 Issue 1202, p60 

    This article explains that the Investment Australia mutual fund plans to invest in the 50 leading Australian stocks in the same proportion as within the Australian Stock Exchange Fifty Leaders Index. These top 50 corporations are expected to produce rapid earnings growth as the economy recovers...

  • Stocks continue on down highway in near overdrive. Amer, Robert // Indianapolis Business Journal;03/16/98, Vol. 18 Issue 53, p32 

    Reports on the performance of stocks and stock exchanges in the United States as of March 1998. Cyclical highs of the Dow Jones industrial average and Standard & Poor's 500 price index; Credit ratings of ITT Educational Services, Finish Line, IPALCO and Great Lakes Chemicals; Mutual funds...

  • To tap emerging-market growth, use index fund.  // Dow Theory Forecasts;11/1/2010, Vol. 66 Issue 44, p5 

    The article focuses on the iShares MSCI Emerging Markets Index fund and the iShares MSCI Europe, Australasia, Far East (EAFE) Index in 2010. It indicates that the monthly standard deviation of the iShares Emerging Markets Index fund is 7.4% compared to iShares MSCI EAFE Index fund's 5.6%. It...

  • Assets Soar At Polish Mutuals.  // Emerging Markets Monitor;1/16/2006, Vol. 11 Issue 38, p7 

    The article reports on an increase in the mutual fund assets of Poland in 2005. It offers information on the impact of domestic interest rates on the mutual fund assets. It also mentions the contribution of the country's mutual funds to the Warsaw Stock Exchange index.

  • Not ugly enough. Kadlec, Daniel // Time;8/24/1998, Vol. 152 Issue 8, p88 

    Discusses the stock market as of August 24, 1998. Cheap stocks; The possibility of interest rates falling; Recommendation of investing money in stocks each month, no matter what the market does; Advice for mutual-fund investors; How the market is more expensive than at any time before; The...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics