TAILIEUCHUNG - MONTHLY BULLETIN JANUARY 2013

The standard approach, therefore, cannot properly measure the odds of observing a group of funds having genuine positive alphas. For example, suppose that 20 out of 200 funds have positive estimated alphas at a given significance level γ. Obviously, the true performance of these 20 funds depends on the proportion of lucky funds. For instance, if the latter is equal to 100%, all 20 funds produce, in reality, zero alphas. Another problem with the standard approach is that it assumes that an observed increase in the number of significant funds as γ rises is only due to the detection of new funds with differential performance | EN EUROPEAN CENTRAL BANK EUROSYSTEM MONTHLY BULLETIN 01 2013 0112013 0212013 0312013 MONTHLY BULLETIN JANUARY EUROPEAN CENTRAL BANK EUROSYSTEM MONTHLY BULLETIN JANUARY 2013 In 2013 all ECB publications feature a motif taken from the 5 banknote. European Central Bank 2013 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Website http Fax 49 69 1344 6000 This Bulletin was produced under the responsibility of the Executive Board of the ECB. Translations are prepared and published by the national central banks. All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged The cut-off date for the statistics included in this issue was 9 January 2013. ISSN 1561-0136 print ISSN 1725-2822 online EU catalogue number QB-AG-13-001-EN-C print EU catalogue number QB-AG-13-001-EN-N online

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