A recent study conducted by Dimensional Fund Advisors assessed the performance of actively managed mutual funds by comparing fund performance to the performance predicted by the Fama/French five factor model.  The five-factor model tests fund performance based on their exposure to the market, value, size, profitability and investment factors. The study of 3,870 active funds over the 32-year period from 1984-2015 found that, in aggregate, actively managed funds underperformed by the expected five factor return by an amount similar to their fees, 0.08% per month.

The study also looked at the actual rate of actively managed funds that outperformed the model versus the percentage that would have been expected based on random chance.  The random chance simulation resulted in a 5% rate, roughly double the percentage of funds that actually outperformed during the period, 2.9%.  The study results were consistent with other findings that active managers are unlikely to add value above their fees and adds to the support for the use of low-cost index and asset class funds when building investment portfolios.