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Benchmarks, expenses, information, risk and performance measures of mutual funds

Abstract : This article studies the performance of US actively managed mutual funds with traditional benchmarks and find, as previous studies, that they obtain negative performance. We believe that this pessimistic result is explained by the excessively high expenses charged by managers or by imperfect measures of expenses. We propose to separate the issue of how much value the manager creates from the issue of how much expenses she charges. We hence propose a performance model in which a benchmark is adjusted for information risk and find, on average, positive and significant performance.
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https://halshs.archives-ouvertes.fr/halshs-00528537
Contributor : Sonia Jimenez-Garcès Connect in order to contact the contributor
Submitted on : Friday, October 22, 2010 - 1:23:05 AM
Last modification on : Tuesday, October 19, 2021 - 11:55:53 AM

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  • HAL Id : halshs-00528537, version 1

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Radu Burlacu, Patrice Fontaine, Sonia Jimenez-Garcès. Benchmarks, expenses, information, risk and performance measures of mutual funds. revue de l'Association Française de Gestion Financière (AFG), 2009, 15p. ⟨halshs-00528537⟩

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