To explore the rationality and competitiveness of the mutual fund industry, we analyze the alpha of active and index mutual funds from a global sample of more than 60,000 equity and fixed income funds and test the null hypothesis that alphas to investors are zero. We distinguish between institutional and retail investors since there are significant differences in management fees, economies of scale, and information asymmetries between these two groups. Using a new robust statistical test, we cannot reject our null hypothesis for the vast majority of investment categories. We find that the average active fund has less exposure to traditional risk factors, but higher sensitivity to alternative risk premia. Fund persistence and the impact of size and fees add further support to our conclusion that the mutual fund industry is highly competitive, except for US domestic funds. This set of funds is excessively overfunded compared to other fund categories.

中文翻译：

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共同基金市场有多合理和竞争？*

为了探索共同基金行业的合理性和竞争力，我们从超过60,000个股票和固定收益基金的全球样本中分析了活跃和指数共同基金的阿尔法，并检验了对投资者的阿尔法为零的零假设。我们区分机构投资者和散户投资者，因为这两组之间在管理费，规模经济和信息不对称方面存在显着差异。使用新的稳健统计检验，我们不能拒绝绝大多数投资类别的零假设。我们发现，普通活动基金对传统风险因素的接触较少，但对替代风险溢价的敏感性更高。基金的持久性以及规模和费用的影响进一步支持了我们的结论，即共同基金行业竞争激烈，美国国内资金除外。与其他类别的基金相比，这组基金的资金过多。