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Another look at the performance of actively managed equity mutual funds

Another look at the performance of actively managed equity mutual funds

14-02-2012 | Research

In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds.

  • David Blitz
    David
    Blitz
    PhD, Executive Director, Head of Quant Selection Research
  • Joop  Huij
    Joop
    Huij
    Head of Factor Investing Research

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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