Another Look at the Performance of Actively Managed Equity Mutual Funds
Robeco Asset Management - Quantitative Strategies
Erasmus University - Rotterdam School of Management; Robeco Quantitative Strategies; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)
February 14, 2012
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
Date posted: February 14, 2012 ; Last revised: February 5, 2013
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