Can trading activity by managers of high-risk mutual funds make a positive contribution to investor utility? Stochastic dominance is used to compare the returns of high-turnover funds with those of low-turnover funds. This approach avoids the limitations of a mean/variance or regression approach and minimizes problems of survivorship bias. The results show that high-turnover groups dominate low-turnover groups, or at least are equally attractive to risk-averse investors. Active portfolio management can enhance investor utility, even when the costs of obtaining and exploiting costly information are taken into account.