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The Elusive “Stock-Picker’s Market”: Dispersion and Mutual Fund Performance
By Jacob Epstein This paper explores the relationship between active mutual fund performance and market dispersion from January 1990 to December 2018. I find a significant positive relationship between dispersion and 4-factor alpha overall, providing some evidence of managerial skill. There are large differences in this relationship by decade and fund selectivity. The results suggest […]
An Analysis of Passive and Active Bond Mutual Fund Performance
By Michael J. Kiffel and Surya Prabhakar The literature on the performance differential between passively and actively managed equity mutual funds is thorough: passively managed funds generally outperform their active counterparts except in the rare presence of highly-skilled managers. However, there exists limited academic research regarding fixed income mutual funds. This study utilizes the Fama-French […]
Do Vanguard ETF Investors Make Good Decisions? – Testing the Bogle Hypothesis
By Meng Xie John Bogle, the founder of Vanguard, is a notable opponent of frequent ETF trading. We test his hypothesis that Vanguard investors are not trading ETFs intelligently. A comparison of dollarweighted and time-weighted returns is the typical method used for assessing investor timing. We instead employ Sharpe’s style analysis techniques to compare the […]
