Mensuel de septembre 2020 - Fonds d’investissement

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Research in Finance: On the matching between fund scale and skill
The academic literature typically documents that there exists a negative relationship between fees and abnormal performance measured by residual alpha from the Carhart 4-factor model. As suggested by Berk and Green (2014), in a rational neoclassical equilibrium, expected alphas of investment funds should be equalized with fees so that after fee performance is similar across funds.   Strangely, a negative relationship between fund alphas and fund fees is observed, meaning that investment funds with lower fees have higher alphas. In principle, alpha is supposed to measure skills and the value added of asset managers. The negative relationship between fees and alpha leads to a situation where the less skilled funds charge higher fees. Different explanations are suggested by...
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