An exercise similar to Fama, French (2010). Goal is to identify and evaluate the luck vs skill of active managers.

Factor datasets are available at Ken French's website here.

Fund data must be self provided.

Fama-French style comparisons of actual fund returns to the percentiles of simulated fund returns. Tables contain the actual percentiles of fund returns and the mean percentile simulated returns at increasing levels of assumed alpha variance. The charts contain cdf plots, kde plots, and histograms for the best and worst funds.

• alpha: table
• t-statistics: table

• alpha: table
• t-statistics: table Charts for alpha and t-statistics for the t-test of alpha vs. zero.

Original idea was to replicate a Fama, French (2010) finding for given dataset. The base structure of the code is borrowed from a master's thesis by Kyjell Jorgensen and rewritten from Matlab into Python.

Fama, French (2010). "Luck versus Skill in the Cross-Section of Mutual Fund Returns." The Journal of Finance, Vol. LXV, No. 5.

Bringedal, Peter and Mathias Tidemann Krafft (2016). "Distinguishing between skill and luck in the returns of Norwegian mutual funds." BI Norwegian Business School.