Mutual Fund Performance and the Incentive to Generate Alpha

• 成果类型: Article
• 署名作者: Del Guercio, Diane; Reuter, Jonathan
• 署名单位: University of Oregon; Boston College; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12048
• 发表日期: 2014
• 页码: 1673-1704
• 关键词: costs; FLOWS; BROKERS; search; RISK

摘要

To rationalize the well-known underperformance of the average actively managed mutual fund, we exploit the fact that retail funds in different market segments compete for different types of investors. Within the segment of funds marketed directly to retail investors, we show that flows chase risk-adjusted returns, and that funds respond by investing more in active management. Importantly, within this direct-sold segment, we find no evidence that actively managed funds underperform index funds. In contrast, we show that actively managed funds sold through brokers face a weaker incentive to generate alpha and significantly underperform index funds.