This paper addresses all these issues by measuring the impact of luck on mutual fund performance.
Specifically, we use the False Discovery Rate (F DR) introduced by Benjamini
and Hochberg (1995) in the statistical literature—the F DR measures the proportion of
lucky funds among the significant funds. We extend this methodology by developing
a new approach which allows us to separately compute the F DR among funds with
significant positive estimated alphas (called hereafter the best funds) and funds with
significant negative estimated alphas (called hereafter the worst funds). A main virtue
of the F DR and these new measures is that they are very easy to...
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