1) Over the two decades ended 9/30/18, the avg dollar invested in US stock funds gained ~8.0% per year after fees (blue line in chart), ~8.8% p.a. before fees (green line). This estimate is derived using the monthly rtns and net assets of all US equity funds, dead and alive. 
2) Interestingly, that 8% avg annl. asset-wgtd rtn only slightly lagged the rtn of a blended index (orange line in chart) that mirrored the breakdown of assets across the nine style-box categories over the 20-year period. Before fees, the average dollar *beat* the benchmark. 😮
3) Which categories' asset-wgtd avg returns beat/lagged their index after fees? The small-cap categories and Large Growth beat (green dots; these account for ~1/3 of the AUM); the other categories lagged (red dots; ~2/3 of the AUM)
4) Large Growth's performance is good case study: Its avg. asset-wgtd. rtn. has beaten Russell 1000 Growth's over two decades ended 9/30/18 largely b/c it clobbered index coming out of tech bubble. It's been losing ground for years now, though, b/c big active LG funds have lagged
5) Contrast that with Small Value, whose avg. asset-wgtd. rtn. has more consistently topped the Russell 2000 Value's. That index, and the other Russell small-cap benchmarks, have been easier beats (if not lately), even for larger (by AUM) active small-cap funds.
6) How does the avg. asset-wgtd. rtn. of US equity funds compare to the avg. *equal*-wgtd. rtn.? (The equal-wgtd. imagines spreading assets equally across all funds and categories.) It has lagged though the gap has narrowed in recent years to only 0.15% p.a. Why narrower...?
7) To answer that question, we need to consider how investors have allocated assets across the 9 categories: They've allocated disproportionately to large-cap, LG especially. With large+growth>small+value in recent yrs, that's given asset-wgtd. avg. rtn. a kick, narrowing the gap
8) What else has narrowed the gap? The shift to cheaper funds. This can be seen when we remove fees from the equation: The gross asset-wgtd. cat. avg. return is ~0.55% p.a. less than the gross equal-wgtd. avg, meaning cost-cutting narrowed the gap by ~0.40% per year.
9) In sum, the avg. dollar invested in US equity funds has performed surprisingly well, nearly keeping up with a mirror blended index as well as the equal-wgtd. avg. This suggests investors' judgments in allocating to cheaper large-cap and growth funds have not hurt performance.
