Fund Selection: Sense and Sensibility
研究了欧洲跨境UCITS股票和债券基金，发现主动股票基金在扣除费用前跑赢被动基金，但费用消耗了大部分增值；简单选择规则有助于识别优秀主动经理，且投资者在费用有限时能达到最低选择技能要求。
Studying a comprehensive universe of European-domiciled cross-border UCITS equity and fixed income funds we find that (i) active equity funds on average outperform passive alternatives before fees by about the level of the fees, (ii) active fixed income funds underperform on a net basis, (iii) fees consume a significant part of the value added of active management, (iv) simple fund selection rules help to identify the better active managers. Finally, we develop the concept of minimum required selection skill and find that investors in actively managed funds could meet this hurdle provided fees are limited.