Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses

• 成果类型: Article; Proceedings Paper
• 署名作者: Wermers, R
• 署名单位: University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00263
• 发表日期: 2000
• 页码: 1655-1695
• 关键词: returns; persistence; momentum; strategies; benchmarks

摘要

We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent. Of the 2.3 percent difference between these results, 0.7 percent is due to the underperformance of nonstock holdings, whereas 1.6 percent is due to expenses and transactions costs. Thus, funds Dick stocks well enough to cover their costs. Also, high-turnover funds beat the Vanguard Index 500 fund on a net return basis. Our evidence supports the value of active mutual fund management.