Abstract

http://ssrn.com/abstract=2004972
 
 

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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 Citation

Blitz, 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

Contact Information

David Blitz (Contact Author)
Robeco Asset Management - Quantitative Strategies ( email )
Coolsingel 120
Rotterdam, 3011 AG
Netherlands
Joop Huij
Erasmus University - Rotterdam School of Management ( email )
P.O. Box 1738
Rotterdam, 3000 DR
Netherlands
HOME PAGE: http://www.rsm.nl/jhuij
Robeco Quantitative Strategies
Rotterdam, 3011 AG
Netherlands
HOME PAGE: http://www.robeco.com/quant
Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)
P.O. Box 1738
Rotterdam, 3000 DR
Netherlands
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