At the same time, we document a substantial cross-sectional variation in the return gap, indicating that hidden costs are more important for some funds, while hidden benefits are more pronounced for also find strong persistence in the return gap for up to 5 years into the future, which suggests that the return gap is driven by systematic factors. Moreover, we find persistence in the return gap not only for the worst performers but also for the best performers. Ourmain result shows that the past return gap helps to predict fund per- formance. Funds with high past return gaps tend to perform consistently better before and after adjusting for.
