Cheaper Is Not Better: On the ‘Superior’ Performance of High-Fee Mutual Funds
研究发现高费率基金偏好投资低盈利、高投资率的股票，这些特征导致低预期回报；在控制盈利和投资因子后，高费率基金在费用前表现优于低费率基金，但费用后表现相似，挑战了低费率基金更优的常见建议。
Abstract In contrast with theoretical predictions, high-fee active equity funds generate worse net-of-expenses performance. We show that this fee-performance puzzle is driven by the preference of high-fee funds for stocks with low operating profitability and high investment rates, characteristics associated with low expected returns. After controlling for exposures to profitability and investment factors, we find high-fee funds significantly outperform low-fee funds before expenses and achieve similarly poor net-of-fees performance. In resolving the fee-performance puzzle, our findings provide support to the theoretical prediction that net alphas are unrelated to fees and challenge the common advice to prefer low-fee funds over high-fee counterparts. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.