Footnote:
In: Tuck School of Business Working Paper No. 2009-56
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 14, 2009 erstellt
Description:
The aggregate portfolio of 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 expense ratios, there is evidence of inferior and superior performance (non-zero true alpha) in the extreme tails of the cross section of mutual fund alpha estimates