文章基本信息

标题：Actively Managed Mutual Fund Returns versus the S&P 500 Index
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作者：EA Risik
期刊名称：Business and Economics Journal
电子版ISSN：2151-6219
出版年度：2013
卷号：2013
出版社：AstonJournals
摘要：The purpose of this paper is to determine if active mutual fund managers provide value over passive fund managers through their stock picking ability. I examine the performance of funds that are “closet indexers” and I have developed several variables that measure how similar a fund is to the S&P 500 Index (as proxied by the Vanguard 500 Index). I regress fund returns on these measures, along with control variables. I use raw returns, characteristic benchmarked returns and four-factor model excess returns as the dependent variables in panel regressions. I use returns from the Center for Research in Security Prices mutual fund database, both before and after fees, as well as calculating fund returns using holdings data from Thompson Financial’s CDA database. My main result is that active managers add value over the S&P 500 Index. The average active fund outperforms the S&P 500 Index by 1.29 to 1.96 percent per year before fees. The outperformance remains positive and significant after fees.
关键词：Mutual funds; benchmarking; index funds; active management.