“Habilidad vs suerte en el desempeño de fondos mutuos en Chile” — Análisis boostrap del alfa en fondos mutuos de renta variable

Abstract

This article applies a new methodology to determinate the existence of skill in Chilean equity mutual fund management in 2001-2008. We use bootstrap methodology to distinguish between skill and luck in the ex-post performance of fund. This statistical technique considers the complex non-nomal distribution of cross-sectional alphas due to heterogeneous risk-taking across funds and non-normalities in individual fund alphas distributions