Abstract
This article examines whether long-term fund alphas come from manager skill or luck. Using a group of bootstrapped winner funds as the benchmark, we compared the actual winner funds with the benchmark. We find evident differences between them with regard to return distribution properties, market exposure, alpha consistency, and portfolio holdings. In addition, persistent winner funds exhibit fund-specific characteristics that are distinct from those of other funds. We conclude that persistent fund alpha is earned by manager skill instead of pure luck.
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