Mutual Fund Performance at Long Horizons - Remark: Seminar will be at 5pm

The percentage of U.S. equity mutual funds that outperform the SPY ETF decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative compound long-horizon abnormal returns. These results reflect positive skewness in compound fund returns and highlight the limitations of conditional arithmetic means of short-horizon returns (including alpha). We tabulate pre-fee investor wealth enhancement of $1.23 trillion and fees of $2.26 trillion, or a wealth loss of $1.02 trillion to mutual fund investors in aggregate over our 30-year sample, when opportunity costs are based on SPY returns.