Economics at your fingertips  

UK fund returns and sector diversification

Aneel Keswani (), David Stolin () and Maxim Zagonov ()
Additional contact information
Aneel Keswani: Cass Business School
David Stolin: University of Toulouse, Toulouse Business School
Maxim Zagonov: University of Toulouse, Toulouse Business School

Economics Bulletin, 2016, vol. 36, issue 1, 10-21

Abstract: We examine the performance of UK equity mutual funds relative to the simple passive alternative of equal sector-weighting. While it has often been reported that only a minority of funds beat the market index, such funds are nonetheless numerous, and many investors have been drawn to active management in the hope that they can spot these funds (Gruber 1996). By contrast, we show that few if any funds outperform equal weighting of industry sectors in the post-1987 period. Our results significantly increase the burden of proof on active equity fund managers wishing to convince investors that they can outperform passive strategies, and introduce an easy to implement passive alternative for would-be investors in such funds.

Keywords: mutual funds; factor models; smart beta; diversification return (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2016-02-04
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

Page updated 2019-01-12
Handle: RePEc:ebl:ecbull:eb-16-00046