Luck versus Skill in the Cross‐Section of Mutual Fund Returns
研究发现美国主动管理型股票共同基金整体接近市场组合，但高成本导致投资者回报降低；通过模拟分析，仅少数基金能覆盖成本，且成本调整后极端表现存在显著差异。
ABSTRACT The aggregate portfolio of actively managed U.S. equity mutual funds is close to the market portfolio, but the high costs of active management show up intact as lower returns to investors. Bootstrap simulations suggest that few funds produce benchmark‐adjusted expected returns sufficient to cover their costs. If we add back the costs in fund expense ratios, there is evidence of inferior and superior performance (nonzero true α ) in the extreme tails of the cross‐section of mutual fund α estimates.