Scale and skill in active management

• 成果类型: Article
• 署名作者: Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.008
• 发表日期: 2015
• 页码: 23-45
• 关键词: returns to scale; skill; active management; Mutual funds

摘要

We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level. As the size of the active mutual fund industry increases, a fund's ability to outperform passive:benchmarks declines. At the fund level, all methods considered indicate decreasing returns, though estimates that avoid econometric biases are insignificant. We also find that the active management industry has become more skilled over time. This upward trend in skill coincides with industry growth, which precludes the skill improvement from boosting fund performance. Finally, we find that performance deteriorates over a typical fund's lifetime. This result can also be explained by industry-level decreasing returns to scale. (C) 2014 Elsevier B.V. All rights reserved.