Do actively managed US mutual funds produce positive alpha?

Rong Huang, Keith Pilbeam and William Pouliot

Journal of Economic Behavior & Organization, 2021, vol. 182, issue C, 472-492

Abstract: Using more general forms of equilibrium asset pricing models, we re-examine the recent literature on actively managed US Mutual Fund performance over the period 1984–2015. Using the false discovery technique, we show that the existing literature which is based upon unconditional versions of these models have underestimated performance of actively managed US funds because they produce inconsistent estimates of fund alpha coefficients. Our estimations of abnormal returns using conditional models allow the parameters that underlie the equilibrium asset pricing models to change which produces consistent estimates of funds alphas. We find that when returns are measured net of management and trading costs between 2.9% to 8.4% of US actively managed funds produce positive-alpha. This contrasts with existing studies that find no significant percentage of US Mutual Funds produce positive-alpha. We also find that different investment styles have significantly different percentages of positive-alpha funds.

Keywords: Mutual funds; Capital asset pricing model; CUSUM Test; Bootstrap (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167268119300757
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:jeborg:v:182:y:2021:i:c:p:472-492

DOI: 10.1016/j.jebo.2019.03.006

Access Statistics for this article

Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D.

More articles in Journal of Economic Behavior & Organization from Elsevier
Bibliographic data for series maintained by Catherine Liu ().