An Analysis of Backfill Bias and Survivorship Bias in the Mutual Fund Industry

  • Dr. Soheli Ghose and Mr. Kanisk Poddar

Abstract

This paper uses data pertaining to various stocks and equity mutual funds to calculate the survivorship bias present in the industry and explain backfill bias. For explaining BackfillBias, the monthly returns for a 5-year period of the value-weighted portfolio of certain selected stocks was compared with the returns of the Index. For Survivorship Bias, data pertaining to Open-Ended Equity Mutual Funds for a 5-year period was collected and several portfolios were created. The returns of the portfolio were assessed through 2 Models: Excess Return over Market, which yielded positive results and gave fair estimates of survivorship bias and Jensen’s One Factor Model which showed insignificant results and could not conclusively prove presence of survivorship bias.

Published
2020-05-31
How to Cite
Dr. Soheli Ghose and Mr. Kanisk Poddar. (2020). An Analysis of Backfill Bias and Survivorship Bias in the Mutual Fund Industry. International Journal of Advanced Science and Technology, 29(08), 2674 - 2692. Retrieved from https://sersc.org/journals/index.php/IJAST/article/view/24716
Section
Articles