"We compare two bootstrap methods for assessing mutual fund performance. Kosowski,
Timmermann, Wermers and White (2006) produces narrow confidence intervals due to
pooling over time, while Fama and French (2010) produces wider confidence intervals
because it preserves the cross-correlation of fund returns. We then show that the average
UK equity mutual fund manager is unable to deliver outperformance net of fees under
either bootstrap. Gross of fees, 95% of fund managers on the basis of the first bootstrap
and all fund managers on the basis of the second bootstrap fail to outperform the luck
distribution of gross returns."
Blake, D., Caulfield, T., Ioannidis, C. & Tonks, I. (2015). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. Journal of Financial and Quantitative Analysis,
