In this study we evaluate the performance of actively managed equity mutual funds against a set of passively managed index funds. We find that the return spread between the best performing actively managed funds and a factor-mimicking portfolio of passive funds is positive and as large as 3 to 5...

European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...

European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...

We document persistence in the performance of emerging market equity funds and find several notable differences compared to US equity funds. First, the contribution of winner funds to the return spread between winner and losers is substantially larger for emerging market funds. Second, only a...

Although sustainable investing is becoming a mainstream ambition, investors disagree on how to best measure corporate sustainability performance (CSP). Environmental, Social, and Governance (ESG) ratings are the dominant CSP metric in the market, but they focus on financial materiality rather...

The goal of Section I is to show the economic foundations for the form of the distortion function A[dt; κ] in equation (2). This is formalized through Proposition IA3 and Corollary IA4.Section II contains the proof of axiomatic consistency properties of the MAP performance measure (Section...

We develop an axiomatically consistent way of ranking and scoring funds that respects an industry benchmark. Our performance measure, termed MAP, accounts for the feature that investors may exhibit skepticism when evaluating investment strategies versus a benchmark. Linking developed theory to...