Mutual fund performance at long horizons

• 成果类型: Article
• 署名作者: Bessembinder, Hendrik; Cooper, Michael J.; Zhang, Feng
• 署名单位: Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah; Southern Methodist University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.10.006
• 发表日期: 2023
• 页码: 132-158
• 关键词: Long-horizon performance; Mutual funds; skewness; Investor wealth loss

摘要

The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative long-horizon ab-normal returns. These results reflect positive skewness in the distribution of fund returns that increases with horizon, and highlight the limitations of conditional arithmetic means of short-horizon returns (e.g., alpha) for long-horizon investors. We tabulate an aggregate wealth loss of $1.02 trillion to mutual fund investors over our 30-year sample, when op-portunity costs are based on beta-adjusted SPY returns.(c) 2022 Elsevier B.V. All rights reserved.