Addressing mutual fund performance across investment styles

The main objective of this study is to examine fund performance across different investment styles. Using a large sample of US mutual funds, we evaluate fund performance in relation to investment style. Our results show that fund performance differs across categories, with Value and SmallCap funds performing better than Growth and LargeCap funds, respectively. However, we observe notable differences in their performance distribution, since the alphas of Growth and SmallCap funds cover a range of broader intervals. Likewise, the best Growth funds and the best SmallCap funds in each month perform better than their comparable Value and LargeCap peers, respectively. In contrast, the worst Growth and SmallCap funds experience the worst performance during the sample period. These results are not driven by other performance indicators, such as fund size or portfolio expenses.