TITLE:
Mutual Fund Management Fees and Returns: A Stochastic Dominance Analysis
AUTHORS:
Ayfer Gurun
KEYWORDS:
Stochastic Dominance, Mutual Fund Performance
JOURNAL NAME:
Theoretical Economics Letters,
Vol.13 No.6,
December
19,
2023
ABSTRACT: Using stochastic dominance approach of Lim, Maasouimi, and Martin (2006) and Linton,
Maasoumi, and Whang (2005), I find that mutual funds with low management fees,
regardless of the growth or value strategy they follow, stochastically dominate
the S&P500 index. High fee funds, on the other hand, fail to stochastically
dominate the S&P500 index. Collectively, these results suggest that the
historical performance of mutual fund managers may not entirely align with the
higher fees they typically charge.