Another Look at the Performance of Actively Managed Equity Mutual Funds

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

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)

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

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

David Blitz (Contact Author)

Robeco Asset Management - Quantitative Strategies ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

Joop Huij

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

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

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

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