S&P 500 Index Mutual Funds
John A. Haslem
University of Maryland - Robert H. Smith School of Business
H. Kent Baker
American University - Kogod School of Business
David M. Smith
State University of New York at Albany - School of Business
June 25, 2009
Journal of Indexes, Vol. 9, No. 2, pp. 34-38, March/April 2007
For investor and institutional class index mutual funds that track the S&P 500 Index, there are just 25 funds with statistically low expense ratios (management fee findings are found above). However, there are only five index funds — all investor class — with statistically very high and extremely high expense ratios. Thus, these results contain both bad and good news for investors.
Unfortunately, the complete story of high expense ratios for S&P 500 index funds finds more bad news. The Sharpe ratio, Jensen's alpha, annualized total return, Morningstar Star ratings, and average net assets are all statistically negatively correlated with index funds with statistically high expense ratios. Further, portfolio turnover and 12b-1 fees are statistically positively correlated with index funds with statistically high expense ratios.
Number of Pages in PDF File: 5
Keywords: S&P 500 index mutual funds, expense ratio, management fees, risk/return performance measures, portfolio turnover, 12b-1 fees, statistical relationships
JEL Classification: G2, G23, G28Accepted Paper Series
Date posted: June 26, 2009 ; Last revised: October 16, 2012
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