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Measuring skill in the mutual fund industry

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Berk, Jonathan B., van Binsbergen, Jules H.·2015·Journal of Financial Economics
DOI 10.1016/j.jfineco.2015.05.002
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  • AI funds and non-AI funds generate similar value added, with a statistically insignificant difference at conventional levels.

    “We find that AI funds and non-AI funds generate similar value added, with a statistically insignificant difference at conventional levels.”

    From The Growth and Performance of Artificial Intelligence in Asset Management (2026) · cites this paper as Berk and van Binsbergen (2015)

    The Abstract discusses mutual-fund value added and reports net-alpha estimates that are not significantly different from zero; it does not test a difference in value added between AI and non-AI funds. Table 9 compares active and index funds instead. Searches for AI funds, artificial intelligence, and machine learning found no passage addressing the claimed comparison. (LLM, conf=0.76)

    Experimental — accuracy not yet measured

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Research works printed but not linked: 22

  1. Baker, M., L. Litov, J. A. Wachter, and J. Wurgler (2010): "Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announce ments," Journal of Financial and Quantitative Analysis, 45(05), 1111-1131.
  2. Bollen, N. P. B., and J. A. Busse (2001): "On the Timing Ability of Mutual Fund Managers," The Journal of Finance, 56(3), 1075-1094. (2005): "Short-Term Persistence in Mutual Fund Performance," Review of Fi nancial Studies, 18(2), 569-597.
  3. Chen, H.-L., N. Jegadeesh, and R. Wermers (2000): "The Value of Active Mu tual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers," Journal of Financial and Quantitative Analysis, 35, 343-368.
  4. Cohen, R. B., C. K. Polk, and B. Silli (2010): "Best Ideas," SSRN eLibrary.
  5. Coval, J. D., and T. J. Moskowitz (2001): "The Geography of Investment: Informed Trading and Asset Prices," The Journal of Political Economy, 109(4), pp. 811-841.
  6. Cremers, K. J. M., and A. Petajisto (2009): "How Active Is Your Fund Manager? A New Measure That Predicts Performance," Review of Financial Studies, 22(9), 3329- 3365.
  7. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers (1997): "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, 52, 1035-1058.
  8. Del Guercio, D., and J. Reuter (2013): "Mutual Fund Performance and the Incen tive to Generate Alpha," Journal of Finance, Forthcoming.
  9. Fama, E. F., and K. R. French (1995): "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, 50, 131-155. (2010): "Luck versus Skill in the Cross-Section of Mutual Fund Returns," The Journal of Finance, 65(5), 1915-1947.
  10. Grinblatt, M., and S. Titman (1989): "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, 62(3), pp. 393-416. (1993): "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, 66(1), pp. 47-68.
  11. Gruber, M. J. (1996): "Another Puzzle: The Growth in Actively Managed Mutual Funds," Journal of Finance, 51, 783-810.
  12. Jensen, M. C. (1968): "The Performance of Mutual Funds in the Period 1945-1964," Journal of Finance, 23, 389-416.
  13. Jiang, H., M. Verbeek, and Y. Wang (2011): "Information Content When Mutual Funds Deviate from Benchmarks," SSRN eLibrary.
  14. Kacperczyk, M., C. Sialm, and L. Zheng (2005): "On the Industry Concentration of Actively Managed Equity Mutual Funds," The Journal of Finance, 60(4), pp. 1983- 2011. (2008): "Unobserved Actions of Mutual Funds," Review of Financial Studies, 21(6), 2379-2416.
  15. Kosowski, R., A. Timmermann, R. Wermers, and H. White (2006): "Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis.," Journal of Finance, 61(6), 2551 -2595.
  16. Linnainmaa, J. T. (2012): "Reverse Survivorship Bias," Journal of Finance, forthcom ing.
  17. Lucas, Robert E., J. (1978): "On the Size Distribution of Business Firms," The Bell Journal of Economics, 9(2), pp. 508-523.
  18. Malkiel, B. G. (1995): "Returns from Investing in Equity Mutual Funds 1971 to 1991," The Journal of Finance, 50(2), pp. 549-572.
  19. Mamaysky, H., M. Spiegel, and H. Zhang (2008): "Estimating the Dynamics of Mutual Fund Alphas and Betas," Review of Financial Studies, 21(1), 233-264.
  20. Pastor, L., and R. F. Stambaugh (2002): "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, 63(3), 315 -349. (2010): "On the Size of the Active Management Industry," Working Paper 15646, National Bureau of Economic Research.
  21. Sharpe, W. F. (1991): "The Arithmetic of Active Management," Financial Analysts Journal, 47(1), pp. 7-9.
  22. Wermers, R. (2000): "Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses," The Journal of Fi nance, 55(4), 1655-1703.

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Authors
Berk, J. B., & van Binsbergen, J. H.
Affiliations
National Bureau of Economic Research (US)
Corresponding author
Berk, Jonathan B.
ORCID
Berk, Jonathan B.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2015-10
Volume
118
Issue
1
Pages
1-20
ISSN
0304-405X (ISSN-L)
DOI
10.1016/j.jfineco.2015.05.002
OpenAlex
W3121333276
Cited by
820
References
3
Citations by year
2026: 80 · 2025: 77 · 2024: 81 · 2023: 71 · 2022: 58 · 2021: 77 · 2020: 91 · 2019: 73 · 2018: 60 · 2017: 66 · 2016: 32 · 2015: 25 · 2014: 17 · 2013: 3 · 2012: 5
FWCI
107.96
Type
journal article
Language
en
Open access
Licence
Locations
  • Journal of Financial Economics (publishedVersion)
  • SSRN Electronic Journal (acceptedVersion)
  • ScholarlyCommons (University of Pennsylvania) (submittedVersion, cc-by-nc-nd)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Business, Management and Accounting › Accounting › Corporate Finance and Governance
  • Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
Keywords
mutual fund performance, manager skill, fund fees, fund size, gross alpha activity

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