TY - JOUR
T1 - Mutual Fund's Net Economic Alpha:
T2 - Definition and Evidence
AU - Garyn-Tal, Sharon
AU - Lauterbach, Beni
PY - 2013
Y1 - 2013
N2 - It is sometimes argued that existing methodologies for assessing mutual fund's performance are unfair, as fund's return is taken net of expenses and benchmark return is gross of expenses. Examining over 1000 U.S. non-specialized mutual funds in 2001-2009, we nd that the abovementioned problem is minute - the net economic alpha, an alpha that accounts for the actual costs of investing in benchmarks via ETFs, yields similar fund's ranking and classi cation as the traditional methods. Also interesting, the average net economic alpha is only slightly negative, suggesting that the mutual funds industry is not inferior.
AB - It is sometimes argued that existing methodologies for assessing mutual fund's performance are unfair, as fund's return is taken net of expenses and benchmark return is gross of expenses. Examining over 1000 U.S. non-specialized mutual funds in 2001-2009, we nd that the abovementioned problem is minute - the net economic alpha, an alpha that accounts for the actual costs of investing in benchmarks via ETFs, yields similar fund's ranking and classi cation as the traditional methods. Also interesting, the average net economic alpha is only slightly negative, suggesting that the mutual funds industry is not inferior.
UR - https://scholar.google.co.il/scholar?q=Mutual+Fund%27s+Net+Economic+Alpha%3A+Definition+and+Evidence&btnG=&hl=en&as_sdt=0%2C5
M3 - Article
VL - 11
SP - . 73–91
JO - Journal of Investment Management (JOIM), Second Quarter
JF - Journal of Investment Management (JOIM), Second Quarter
IS - 2
ER -