In contrast with theoretical predictions, high-fee active equity funds generate worse net-of-expenses performance. We show that this fee-performance puzzle is driven by the preference of high-fee funds for stocks with low operating profitability and high investment rates, characteristics associated with low expected returns. After controlling for exposures to profitability and investment factors, we find high-fee funds significantly outperform low-fee funds before expenses and achieve similarly poor net-of-fees performance. In resolving the fee-performance puzzle, our findings provide support to the theoretical prediction that net alphas are unrelated to fees and challenge the common advice to prefer low-fee funds over high-fee counterparts.

中文翻译：

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便宜并不更好：关于高收费共同基金的“卓越”表现

与理论预测相反，高收费主动型股票基金的费用净额表现较差。我们表明，这种费用绩效难题是由高费用基金偏爱低运营利润率和高投资率的股票所驱动的，这些特征与低预期回报相关。在控制了盈利能力和投资因素后，我们发现高收费基金在扣除费用前的表现明显优于低收费基金，并且在扣除费用后的表现同样不佳。在解决费用绩效难题时，我们的研究结果为净阿尔法与费用无关的理论预测提供了支持，并挑战了偏好低费用基金而不是高费用基金的普遍建议。