FYI: Should investors expect mutual fund managers to generate value via timely trades? In their November 2014 paper entitled “Do Funds Make More When They Trade More?”, Lubos Pastor, Robert Stambaugh and Lucian Taylor investigate the relationship between mutual fund turnover and performance. They measure mutual fund performance at a monthly frequency as gross fund return minus the return on its Morningstar benchmark index. They measure turnover over the last 12 months via a methodology that largely excludes trading due solely to fund inflows and outflows. Using returns and turnovers for 3,126 active U.S. equity mutual funds during 1979 through 2011, they find that:
Regards,
Ted
Research Paper Download:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2524397
