The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses
Abstract
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 pick 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.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings
Grinblatt, M., & Titman, S. (1989) · The Journal of Business · doi:10.1086/296468 · Cited by 1,349
Cited by
Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization
Chen, J., Hong, H., Huang, M., & Kubik, J. D. (2004) · American Economic Review · doi:10.1257/0002828043052277 · Cited by 1,430
Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
Calvet, L. E., Campbell, J. Y., & Sodini, P. (2007) · Journal of Political Economy · doi:10.1086/524204 · Cited by 992
Just how much do individual investors lose by trading?
Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn046 · Cited by 953
Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed?
Yan, X. (., & Zhang, Z. (2009) · Review of Financial Studies · doi:10.1093/revfin/hhl046 · Cited by 916
Dumb money: Mutual fund flows and the cross-section of stock returns
Frazzini, A., & Lamont, O. A. (2008) · Journal of Financial Economics · doi:10.1016/j.jfineco.2007.07.001 · Cited by 882
Metadata
- Authors
- Wermers, R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-08
- Volume
- 55
- Issue
- 4
- Pages
- 1655-1695
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2143173505
- Cited by
- 1,853
- References
- 5
- FWCI
- 48.02
- Type
- journal article
- Language
- en
- Open access
- closed
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- Wermers, R. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses. The Journal of Finance. https://doi.org/10.1111/0022-1082.00263
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