Abstract：Based on the daily return data of Chinese actively managed open-ended funds during the period 2002-2013, this paper adopts the false discovery rate (FDR) to examine the impact of luck on fund performance from the dimensions of style timing, investment objectives, fund characteristics, and performance persistence. The main conclusions include: The luck has an asymmetric effect on fund performance, namely, the effect of luck on good funds is greater than that on bad funds; Few good funds exhibit genuine stock-picking skill after the adjustment of luck, while most funds can not obtain abnormal returns with management fee, trade cost, and other expenses being deducted; Style timing has a significant effect on true performance, which means that investors should consider fund timing behavior when they use past performance to choose funds; According to the differentiated effects of investment objectives and fund characteristics on true performance, investors can efficiently choose the truly skilled star funds; Fund performance controlled by the FDR is not persistent.
易力, 胡振华. 基于FDR控制的基金绩效评价[J]. 系统工程理论与实践, 2016, 36(4): 846-856.
YI Li, HU Zhenhua. Fund performance evaluation based on the FDR control. Systems Engineering - Theory & Practice, 2016, 36(4): 846-856.
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2016, Vol. 36 
