A1417
Title: Equivalence of mutual funds performance
Authors: Gaetan Bakalli - Emlyon Business School (France) [presenting]
Olivier Scaillet - University of Geneva and Swiss Finance Institute (Switzerland)
Stephane Guerrier - University of Geneva (Switzerland)
Abstract: A simple technique for finding equivalent performance in mutual funds while controlling false discoveries due to multiple testing is developed. The Benjamini-Hochberg method does not allow for discoveries in equivalence testing using the TOST, and a matching method is introduced to control for FDR. The method is applied to the selection of mutual fund performance.
