The Mismatch Between Mutual Fund Scale and Skill

• 成果类型: Article
• 署名作者: Song, Yang
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12950
• 发表日期: 2020
• 页码: 2555-2589
• 关键词: cross-section; performance; style; size; COSTS; FLOWS

摘要

I demonstrate that skill and scale are mismatched among actively managed equity mutual funds. Many mutual fund investors confuse the effects of fund exposures to common systematic factors with managerial skill when allocating capital among funds. Active mutual funds with positive factor-related past returns thus accumulate assets to the point that they significantly underperform. I also show that the negative aggregate benchmark-adjusted performance of active equity mutual funds is driven mainly by these oversized funds.