In pursuit of alpha: Evaluating active and passive strategies

November 2, 2017 (Updated January 24, 2018)

 

For clients pursuing alpha, funds with index in their name might seem unappealing. But research suggests that funds' underlying characteristics could be more important than the active and index labels.

In pursuit of alpha: Evaluating active and passive strategies examines funds' factor-adjusted gross and net alphas over the last 12 years to help determine the drivers of alpha.

Use this paper to:

  • Assess the relative performance of U.S. equity mutual funds and ETFs in a factor-based framework.
  • Review our estimates of annual gross and net alpha for U.S. equity mutual funds and ETFs across several variables.
  • Examine the drivers of alpha for U.S. equity mutual funds and ETFs.

Note:

  • All investing is subject to risk, including possible loss of principal.

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Additional materials
 

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