TY - JOUR
T1 - The value of active portfolio management
AU - Shukla, Ravi
N1 - Funding Information:
I am grateful for helpful comments from Amber Anand, Fernando Diz, Thomas Finucane, David Harris, Kenneth Kopecky and participants at the Finance Workshop at Syracuse University. The paper has also benefited from the presentation at the Eastern Finance Meetings Association Meetings in 2000. This work was partly supported by a research grant from the School of Management, Syracuse University.
PY - 2004/7
Y1 - 2004/7
N2 - We calculate the value of interim portfolio revision, an integral component of active management of mutual funds by comparing the returns on actively managed mutual fund portfolios with the returns the fund portfolios would have earned had there been no interim revision. The results show that, on an average, excess returns from interim portfolio revision do not cover the incremental trading costs, even over holding periods as long as 6 months. Across mutual funds, we find evidence of a positive relationship between the excess returns and mutual fund expense ratios suggesting that those managers who generate higher excess returns charge higher fees from the stockholders.
AB - We calculate the value of interim portfolio revision, an integral component of active management of mutual funds by comparing the returns on actively managed mutual fund portfolios with the returns the fund portfolios would have earned had there been no interim revision. The results show that, on an average, excess returns from interim portfolio revision do not cover the incremental trading costs, even over holding periods as long as 6 months. Across mutual funds, we find evidence of a positive relationship between the excess returns and mutual fund expense ratios suggesting that those managers who generate higher excess returns charge higher fees from the stockholders.
KW - Mutual funds
KW - Performance evaluation
KW - Portfolio management
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U2 - 10.1016/j.jeconbus.2004.01.002
DO - 10.1016/j.jeconbus.2004.01.002
M3 - Article
AN - SCOPUS:3042592206
VL - 56
SP - 331
EP - 346
JO - Journal of Economics and Business
JF - Journal of Economics and Business
SN - 0012-9933
IS - 4
ER -