We derive a proxy for expected returns from a noisy multi-asset rational expectations equilibrium model. a goal/contribution of this paper is to use the same proxy for the theorical, numerical, and empirical analyses.

We study the performance of US actively managed equity mutual funds with traditional models and find, as in previous studies, that they obtain negative performance. We argue that this pessimistic result is explained by the excessively high expenses charged by managers. Managers justify these...