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- W1574663583 abstract "We apply methods designed to measure mutual fund skill to a cross-section of traded funds that should not exhibit managerial portfolio selection skill: index funds. Surprisingly, these tests imply index fund skill exists, is persistent, and is in similar proportion as in active funds. We use the distribution of passive fund performance to gauge incremental ability of active managers. Outperformance by top active funds is lower when benchmarked to the index fund distribution and disappears when we account for residual risk. Stochastic dominance tests suggest no risk-averse investor should choose a random active fund over a random index fund." @default.
- W1574663583 created "2016-06-24" @default.
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- W1574663583 date "2014-01-01" @default.
- W1574663583 modified "2023-09-27" @default.
- W1574663583 title "Passive versus Active Fund Performance: Do Index Funds Have Skill?" @default.
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- W1574663583 doi "https://doi.org/10.2139/ssrn.2467102" @default.
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