The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.
Luck versus Skill in the Cross‐Section of Mutual Fund Returns
Abstract
The aggregate portfolio of actively managed U.S. equity mutual funds is close to the market portfolio, but the high costs of active management show up intact as lower returns to investors. Bootstrap simulations suggest that few funds produce benchmark‐adjusted expected returns sufficient to cover their costs. If we add back the costs in fund expense ratios, there is evidence of inferior and superior performance (nonzero true α) in the extreme tails of the cross‐section of mutual fund α estimates.
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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
Self-citationOn 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
The Behavior of Stock-Market Prices
Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664
Self-citationTHE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964
Jensen, M. C. (1968) · The Journal of Finance · doi:10.1111/j.1540-6261.1968.tb00815.x · Cited by 4,329
Mutual Fund Flows and Performance in Rational Markets
Berk, J. B., & Green, R. C. (2004) · Journal of Political Economy · doi:10.1086/424739 · Cited by 2,083 · cited 12×
“Thus, for percentiles above the 90th, the CAPM t(α) Luck versus Skill in Mutual Fund Returns 1945 Table AI Percentiles of CAPM t(α) Estimates for Actual and Simulated Fund Returns The table shows values of t(α) at selected percentiles (Pct) of the distribution of CAPM t(α) estimates for actual (Act) net and gross fund…”
InfluentialAnother Puzzle: The Growth in Actively Managed Mutual Funds
GRUBER, M. J. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02707.x · Cited by 2,065
Measuring Fund Strategy and Performance in Changing Economic Conditions
FERSON, W. E., & SCHADT, R. W. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02690.x · Cited by 1,759
Returns from Investing in Equity Mutual Funds 1971 to 1991
MALKIEL, B. G. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04795.x · Cited by 1,745
The Performance of Mutual Funds in the Period 1945-1964
Jensen, M. C. (1968) · The Journal of Finance · doi:10.2307/2325404 · Cited by 1,707
How Active Is Your Fund Manager? A New Measure That Predicts Performance
Cremers, K. J. M., & Petajisto, A. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp057 · Cited by 1,654
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Size, value, and momentum in international stock returns
Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767
Self-citationMeasuring skill in the mutual fund industry
Berk, J. B., & van Binsbergen, J. H. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2015.05.002 · Cited by 820
The Behavior of Individual Investors
Barber, B. M., & Odean, T. (2013) · Handbook of the Economics of Finance · doi:10.1016/b978-0-44-459406-8.00022-6 · Cited by 750
Scale and skill in active management
Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.11.008 · Cited by 547
Metadata
- Authors
- FAMA, E. F., & FRENCH, K. R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2010-09-21
- Volume
- 65
- Issue
- 5
- Pages
- 1915-1947
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2151353604
- Cited by
- 1,754
- References
- 22
- FWCI
- 157.09
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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