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Another look at the performance of actively managed equity mutual funds

14-02-2012 | Research | David Blitz, PhD, Joop Huij, PhD In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds. We find that the return spread between the best performing actively managed funds and a factor-mimicking portfolio of passive funds is positive and as large as 3 to 5 percent per annum. Our findings are inconsistent with the view that active funds have little or no incremental economic value over low-cost index funds.
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