Survivor Bias and Mutual Fund Performance¶
Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). Survivor Bias and Mutual Fund Performance. The Review of Financial Studies, 9(4), 1097-1120.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Entry/Exit Normalization Protocol
- Freezing base-year weights understates the real growth of genuinely new sectors; dropping exiters without a thought is survivorship bias, the mean flattered by the quiet disappearance of the units that would have dragged it down.
This sourceShows that dropping funds that disappear from a dataset creates survivorship bias and inflates mean performance.
- Freezing base-year weights understates the real growth of genuinely new sectors; dropping exiters without a thought is survivorship bias, the mean flattered by the quiet disappearance of the units that would have dragged it down.
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Registry ID ref:1d9809af7813 · see in the full table