Funds that trade the most, whose brokerage costs take a big bite out of returns, are performing even worse than funds that trade the least, The Wall Street Journal reports, citing figures from research firm Morningstar.

For the 12 months ended Monday, the 1,730 funds with the highest turnover had a loss of 20.9%, compared with a 19.1% loss for an equal number of funds with the lowest turnover, according to Morningstar, which reviewed about 5,200 U.S. stock funds. During the three years ended Monday, high-turnover funds lost an annualized 14%, compared with an 8% loss for low-turnover funds. Over five years, active-trading funds lost 2.3% annually, compared with the average 0.8% loss for slow-trading funds.

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