...Juan Carlos Matallín-Sáez We found a negative relation between mutual funds’ past R² and their abnormal performance, as did Amihud and Goyenko (2013), who proposed measuring active management of mutual funds by 1−R². The interpretation of this relationship...

...James J. Choi; Kevin Zhao Carhart (1997 ) found that U.S. equity mutual funds’ past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past...

...Timothy B. Riley Kosowski et al. (2006) use a novel bootstrap technique to study the performance of domestic equity mutual funds over the period 1975 to 2002. They find that “a sizable minority of managers pick stocks well enough to more than cover their costs.” When replicating...

...Harrison Hong; Wenxi Jiang Adams et al. (2018) point out that outliers might be driving the negative relationship between fund size and performance in Chen et al. (2004) . These outliers are due to style misclassifications in the 2004 CRSP Mutual Fund Database. They propose...

... that the documented negative relation between scale and return performance in the actively managed mutual fund industry is an artifact of extreme observations. A manual examination of the most influential observations with verifications against outside sources shows that these outliers are largely bad data. Removing...