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Exploring the “Good Guys”: An Empirical Study of Vanguard’s Actively Managed Domestic Equity Mutual Funds

David M. Blanchett
The Journal of Investing Summer 2010, 19 (2) 39-48; DOI: https://doi.org/10.3905/joi.2010.19.2.039
David M. Blanchett
is an MBA candidate at the University of Chicago Booth School of Business in Chicago, IL.
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  • For correspondence: dblanchett@chicagobooth.edu
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Abstract

There is a great deal of literature exploring the merits of active management. With few exceptions, the consensus has been (not surprisingly) that after fees, most active managers do not outperform an appropriately selected passive strategy. These studies generally include the entire population of mutual funds, despite the fact that many of the funds have little or no appeal to investors. This article explores a subset of active managers, Vanguard’s actively managed mutual funds, to determine if “good guy” active managers, i.e., active managers with positive attributes like low expenses and low turnover, do in fact generate alpha. While the results vary across individual funds, when aggregated, all tests yield positive alphas, many of which are statistically significant, suggesting that the good guys can (and do) win.

TOPICS: Manager selection, mutual funds/passive investing/indexing, mutual fund performance

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The Journal of Investing: 19 (2)
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Exploring the “Good Guys”: An Empirical Study of Vanguard’s Actively Managed Domestic Equity Mutual Funds
David M. Blanchett
The Journal of Investing May 2010, 19 (2) 39-48; DOI: 10.3905/joi.2010.19.2.039

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Exploring the “Good Guys”: An Empirical Study of Vanguard’s Actively Managed Domestic Equity Mutual Funds
David M. Blanchett
The Journal of Investing May 2010, 19 (2) 39-48; DOI: 10.3905/joi.2010.19.2.039
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  • Article
    • Abstract
    • LITERATURE REVIEW
    • TEST DATA
    • FOUR-FACTOR REGRESSIONS
    • RBSA MATCHED BENCHMARKS
    • ROLLING JENSEN’S ALPHA AND OUTPERFORMANCE BASED ON MORNINGSTAR CATEGORY
    • TIME-VARYING RETURNS
    • CONCLUSION
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