Journal of Finance and Investment Analysis

Does Active Management Beat the Market? Evidence from Italy

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  • Abstract


    In this paper we analyze a sample of sixteen actively managed equity mutual funds of the Italian market in the period 2008-2017 to test if they have been able to beat the market. We first make a comparison between the funds and two passive stock indexes. In this case, all funds deliver higher returns. Then we contrast the performance of each fund with that of its own benchmark, that in most cases is a weighted average of relevant passive indexes of the Italian stock market. We find that in general actively managed funds deliver lower returns. In particular, just three of the sixteen active funds offer higher net returns compared to their benchmarks. Three other funds beat the market only before fees. All the other funds exhibit lower returns even ignoring the costs.


    JEL classification numbers: G11, G12, G14.

    Keywords: Active vs passive management, stock returns, systematic risk.