performance as well as their location in the cross-sectional alpha distribution. Using a large cross-section of U.S. domestic … the left tail of the alpha distribution. We also find a small proportion of funds with truly positive performance, which …

select ex ante the future best-performing rules. Moreover, even in-sample, the performance is completely offset by the …

We investigate the performance of the German equity mutual fund industry over 20years (monthly data 1990–2009) using … the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama …–French three factor (3F) model (with no market timing) we find that at most 0.5% of funds have truly positive alpha-performance and …

never have been able to select ex ante the future best-performing rules. Moreover, even the in-sample performance is …

significant alphas by luck alone, to evaluate the performance of actively managed U.S. domestic-equity mutual funds during the … persistent performance. …

It is a common practice to use resampling methods such as the bootstrap for calculating the p-value for each test when … performing large scale multiple testing. The precision of the bootstrap p-values and that of the false discovery rate (FDR … important need, we developed a simple adaptive bootstrap methodology for large scale multiple testing, which reduces the total …

this property via a simulation study and two empirical applications. In particular, the bootstrap method is competitive …