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