43 Pages Posted: 14 Feb 2012 Last revised: 5 Feb 2013
Date Written: 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.
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