A pooled cross-section/time series analysis is used to assess the long-run relationship between risk-adjusted performance of equity mutual funds and asset size, expense ratios, portfolio turnover, and load/no-load status. The data base consists of investment results of 151 equity mutual funds in continual operation over the 20-year period from 1971 to 1990. Variations of the cross-section/time series model are employed to explore the interactions among the nature of the funds (load or no-load) with asset size and expense ratios. Investment performance is not related to asset size, turnover rate, or load/no-load status, and higher expenses are associated with higher returns.
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Droms et al. (1996) studied this question.
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