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Glode (2011) shows, both theoretically and empirically, that U.S. equity mutual funds have a systematically better performance during periods of economic downturn and that investors are willing to pay higher fund fees for this recession insurance. In this paper, we test these hypotheses out-of-sample using international mutual fund data from 16 different countries. Surprisingly, we cannot confirm that mutual funds outperform during recessions and do not find that funds with high recession alphas can charge higher fees to Investors. Hence, our study raises doubts about the validity of Glode (2011)'s model and looks for alternative explanations of mutual fund's state-specific performance and optimal fee-setting.

Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence