THE DIMINISHING ROLE OF ACTIVE MUTUAL FUNDS: FLOWS AND RETURNS

被引：0

作者：

Xiong, James X. ^{[1
]}

Idzorek, Thomas M. ^{[1
]}

Ibbotson, Roger G. ^{[2
,3
]}

机构：

[1] Morningstar Investment Management, 22 West Washington St, Chicago, IL 60602 USA

[2] Zebra Capital Management LLC, Stamford, CT USA

[3] Yale Sch Management, New Haven, CT USA

来源：

JOURNAL OF INVESTMENT MANAGEMENT | 2023年 / 21卷 / 04期

关键词：

Active mutual fund; fund alpha; fund flow; flow impact; STOCK-PICKING TALENT; EMPIRICAL DECOMPOSITION; TRANSACTIONS COSTS; CROSS-SECTION; PERFORMANCE; RISK; STYLE;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

U.S. active equity mutual funds have experienced net outflows since around 2006. The AUM-weighted performance remains similar over time, but equal-weighted performance (which emphasizes small AUM active funds) has deteriorated. Inflows/outflows contribute to the over/underperformance of individual active funds. We estimate that the flow-impact on annualized alpha for aggregated active funds industry was a positive 0.33% between 1/1991 and 12/2005, but it was a negative -0.10% between 1/2006 and 9/2021. If the current flow trend continues, the AUM of active mutual funds will drop to 17% of the total AUM of equity funds after 15 years.

引用

页码：32 / 52

页数：21

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