The Mismatch Between Mutual Fund Scale and Skill
研究发现主动管理型股票基金的规模与基金经理技能存在错配，许多投资者将基金对系统性因子的暴露误认为管理技能，导致过去表现好的基金过度膨胀，最终表现不佳。
ABSTRACT I demonstrate that skill and scale are mismatched among actively managed equity mutual funds. Many mutual fund investors confuse the effects of fund exposures to common systematic factors with managerial skill when allocating capital among funds. Active mutual funds with positive factor‐related past returns thus accumulate assets to the point that they significantly underperform. I also show that the negative aggregate benchmark‐adjusted performance of active equity mutual funds is driven mainly by these oversized funds.