Another Look at the Performance of Actively Managed Equity Mutual Funds

Blitz, David; Huij, Joop

doi:10.2139/ssrn.2004972

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Another Look at the Performance of Actively Managed Equity Mutual Funds

43 Pages Posted: 14 Feb 2012 Last revised: 5 Feb 2013

See all articles by David Blitz

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Date Written: 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.

Keywords: mutual fund performance, active versus passive, persistence, index funds, momentum

JEL Classification: G11, G12, G14

Suggested Citation: Suggested Citation

Blitz, David and Huij, Joop, Another Look at the Performance of Actively Managed Equity Mutual Funds (February 14, 2012). Available at SSRN: https://ssrn.com/abstract=2004972 or http://dx.doi.org/10.2139/ssrn.2004972