An Analysis of the Expense Ratio Pricing of SMB,HML, and UMD Exposure in U.S. Equity Mutual Funds
研究了美国股票型共同基金公司对小型股、价值股和动量股暴露收取的费用率，发现基金公司确实对因子溢价收费，且不同公司及相同因子暴露组合间收费差异显著。
The expense ratio price of U.S. equity market exposure is close to zero with funds such as the Vanguard Total Stock Market Index (ticker: VTSAX), which charges an expense ratio of just 5 bps. An interesting, and more difficult, question to answer is, How much are mutual fund companies charging investors to gain exposure to small-capitalization, value, and positive momentum stocks? The authors answer this question using monthly returns data for low-cost mutual funds and ETFs in tandem with Fama–French three- and Carhart four-factor equity pricing models and current fund expense ratio levels. They indeed find strong evidence that fund companies charge for exposure to individual factor premiums. Additionally, they find significant variation in how aggressively factor exposure is priced, both across fund companies and across portfolios offering identical levels of factor premium exposure. <b>TOPICS:</b>Mutual fund performance, factor-based models