Survivorship bias and comparability of UK open-ended fund databases

Abstract

In this paper, we compare returns contained in two widely used databases of UK unit trusts: Morningstar and S&P Micropal. Considering funds for which both sources have data, differences in returns between the databases are considerable and often of sufficient magnitude that they should be of significant concern to researchers. Such data inconsistencies frequently lead to material differences in performance measurement results. We believe that the observed differences raise serious issues with regard to the comparability of results and conclusions of performance studies of UK funds that use different data sets.