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The volatility of mutual fund performance

Miles Livingston, Ping Yao and Lei Zhou

Journal of Economics and Business, 2019, vol. 104, issue C, -

Abstract: Previous research has shown that fund performance is reduced by higher expense ratios but improved by more active management. Using data for equity mutual funds from 1991 to 2012, we show that prior studies has overlooked the fact that a high degree of active management magnifies the extremes of performance. In addition, funds with higher expense ratios and turnover ratio have had greater volatility of performance as well as lower mean performance, a doubly adverse pattern. Thus, mutual funds with more active management, higher expense ratios and turnover ratios are riskier.

Keywords: Mutual fund performance; Risk (search for similar items in EconPapers)
JEL-codes: G20 G23 G28 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:104:y:2019:i:c:2

DOI: 10.1016/j.jeconbus.2019.02.001

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