The performance of enhanced-return index funds: evidence from bootstrap analysis

References

• Ahmed , P and Nanda , S . 2005 . Performance of enhanced index and quantitative equity funds . Financial Rev. , 40 : 459 – 479 .
   Google Scholar
• Barras , L , Scaillet , O and Wermers , R . 2010 . False discoveries in mutual fund performance: Measuring luck in estimated alphas . J. Finance , 65 : 179 – 216 .
   Web of Science ®Google Scholar
• Brown , SJ , Goetzmann , WN , Ibbotson , RG and Ross , SA . 1992 . Survivorship bias in performance studies . Rev. Financ. Stud. , 5 : 553 – 580 .
   Web of Science ®Google Scholar
• Carhart , M.M. 1997 . On persistence in mutual fund performance . J. Finance , 52 : 57 – 82 .
   Web of Science ®Google Scholar
• Chen , H-L , Jegadeesh , N and Wermers , R . 2000 . An examination of the stockholdings and trades of fund managers . J. Financial Quant. Anal. , 35 : 343 – 368 .
   Web of Science ®Google Scholar
• Chen , Y , Ferson , W and Peters , H . 2010 . Measuring the timing ability and performance of bond mutual funds . J. Financial Econ. , 98 : 72 – 89 .
   Web of Science ®Google Scholar
• Daniel , K , Grinblatt , M , Titman , S and Wermers , R . 1997 . Measuring mutual fund performance with characteristic-based benchmarks . J. Finance , 52 : 1035 – 1058 .
   Web of Science ®Google Scholar
• Eling , M and Faust , R . 2010 . The performance of hedge funds and mutual funds in emerging markets . J. Bank. Finance , 34 : 1993 – 2009 .
   Web of Science ®Google Scholar
• Elton , EJ , Gruber , MJ and Busse , JA . 2004 . Are investors rational? Choices among index funds . J. Finance , 59 : 261 – 288 .
   Web of Science ®Google Scholar
• Fama , EF and French , KR . 2010 . Luck versus skill in the cross-section of mutual fund returns . J. Finance , 65 : 1915 – 1947 .
   Web of Science ®Google Scholar
• Ferson , WE and Schadt , RW . 1996 . Measuring fund strategy and performance in changing economic conditions . J. Finance , 51 : 425 – 461 .
   Web of Science ®Google Scholar
• Frino , A and Gallagher , DR . 2001 . Tracking S&P 500 index funds . J. Portfol. Mgmt , 27 : 44 – 54 .
   Web of Science ®Google Scholar
• Frino , A , Gallagher , DR and Oetomo , TN . 2005 . The index tracking strategies of passive and enhanced index equity funds . Austr. J. Mgmt , 30 : 23 – 55 .
   Google Scholar
• Grinblatt , M and Titman , S . 1989 . Mutual fund performance: An analysis of quarterly portfolio holdings . J. Business , 62 : 393 – 416 .
   Web of Science ®Google Scholar
• Henriksson , RD and Merton , RC . 1981 . On market timing and investment performance II. Statistical procedures for evaluating forecasting skills . J. Business , 54 : 513 – 534 .
   Web of Science ®Google Scholar
• Horowitz , JL . 2003 . Bootstrap methods for Markov processes . Econometrica , 71 : 1049 – 1082 .
   Web of Science ®Google Scholar
• Jensen , MC . 1968 . The performance of mutual funds in the period 1945–1964 . J. Finance , 23 : 389 – 416 .
   Web of Science ®Google Scholar
• Kosowski , R , Timmermann , A , Wermers , R and White , H . 2006 . Can mutual fund “Stars” really pick stocks? New evidence from a Bootstrap analysis . J. Finance , 61 : 2551 – 2595 .
   Web of Science ®Google Scholar
• Lee , C and Rahman , S . 1990 . Market timing, selectivity, and mutual fund performance: An empirical investigation . J. Business , 63 : 261 – 278 .
   Web of Science ®Google Scholar
• Malkiel , B . 1995 . Returns from investing in equity mutual funds 1971–1991 . J. Finance , 50 : 549 – 572 .
   Web of Science ®Google Scholar
• Neal , GS . 1999 . Inside an enhanced index fund . J. Financial Plann. , 12 : 64 – 68 .
   Google Scholar
• Riepe , MW and Werner , MD . 1998 . Are enhanced index mutual funds worthy of their name? . J. Invest. , 7 : 6 – 15 .
   Google Scholar
• Treynor , JL and Black , F . 1973 . How to use security analysis to improve portofolio selection . J. Business , 46 : 66 – 86 .
   Web of Science ®Google Scholar
• Treynor , J and Mazuy , K . 1966 . Can mutual funds outguess the market? . Harv. Business Rev. , 44 : 131 – 136 .
   Web of Science ®Google Scholar
• Wermers , R . 2000 . Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses . J. Finance , 55 : 1655 – 1703 .
   Web of Science ®Google Scholar