Mutual Fund Performance and the Incentive to Generate Alpha
研究发现，直接面向零售投资者的主动管理基金为追逐风险调整后收益而增加主动管理投入，其业绩不逊于指数基金；而通过经纪人销售的基金因激励不足，显著跑输指数基金。
ABSTRACT To rationalize the well‐known underperformance of the average actively managed mutual fund, we exploit the fact that retail funds in different market segments compete for different types of investors. Within the segment of funds marketed directly to retail investors, we show that flows chase risk‐adjusted returns, and that funds respond by investing more in active management. Importantly, within this direct‐sold segment, we find no evidence that actively managed funds underperform index funds. In contrast, we show that actively managed funds sold through brokers face a weaker incentive to generate alpha and significantly underperform index funds.