Browsing M.Sc. Management by Author "Tran, Nhan"
False Discoveries in the Performance of Canadian Equity Mutual FundsTran, Nhan; Faculty of Business ProgramsThis 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.