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File name: SSRN-id2210317. ; Size: 1395K
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Another Look at the Performance of Actively Managed Equity Mutual Funds
David Blitz
Robeco Asset Management - Quantitative Strategies
Joop Huij
Erasmus University - Rotterdam School of Management; Robeco Quantitative Strategies; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)
February 14, 2012
Abstract:
In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds. We find that the return spread between the best performing actively managed funds and a factor-mimicking portfolio of passive funds is positive and as large as 3 to 5 percent per annum. Our findings are inconsistent with the view that active funds have little or no incremental economic value over low-cost index funds.
Number of Pages in PDF File: 43
Keywords: mutual fund performance, active versus passive, persistence, index funds, momentum
JEL Classification: G11, G12, G14
working papers series
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Date posted: February 14, 2012
; Last revised: February 5, 2013
Suggested CitationBlitz, David and Huij, Joop, Another Look at the Performance of Actively Managed Equity Mutual Funds (February 14, 2012). Available at SSRN: http://ssrn.com/abstract=2004972 or http://dx.doi.org/10.2139/ssrn.2004972
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