Professional articles and academic papers on performance analysis. Attribution analysis seeks to compare the return from a fund with the return from a benchmark, and to explain the differences by decomposing the excess return into its component parts. Some of our most popular research on attribution analysis considers performance attribution methodology from first principles, providing...
a primer on attribution analysis and models. Others white papers and reports focus on particular models, such as the Brinson Model, fixed income return attribution, equity attribution analysis, or the dissecting of hedge fund returns. A key aspect of performance is of course reporting to clients, and here the CFA provides guidance for effective investment reporting with its Principles for Investment Reporting model, known as GIPS (Global Investment Performance Standards) and encapsulated in the GIPS Handbook. A proper attribution of returns illuminates the contribution made by active managers, enabling judgements to be formed of whether excess returns have arisen from skill or luck. For most investment strategies, however, an extended period of time is required before such judgements can be made with any confidence.
Do equities that suffer the greatest losses in the initial stages of a major market downturn subsequently outperform during the recovery? Here we examine the 10 largest US equity downturns of the past 38 years along with the current Covid-19 market crisis focusing on the performance of the worst performing quintile during…
Prior to Eugene Fama’s 1965 contribution to the Financial Analysts Journal, making money on Wall Street was considered to be easy. The practical implication of the efficient market hypothesis (EMH) changed that presumption. Despite challenges to the hypothesis, small investors—those who are not professionals and have limited…
Many market participants attempt to identify future top-performing funds using managers’ track records. This practice implicitly assumes that managers’ successful track records reflect skill and that their superior performance will be repeated in the future. Since genuine skill is likely to persist, one key measure of active…
The Risk-Adjusted SPIVA Year-End 2019 Scorecard shows that, after adjusting for risk, most U.S. Equity Funds across all categories underperformed their benchmarks over mid- and long-term investment horizons, net of fees.
The authors use 17 years of data to analyze how social and economic pressures in the ASEAN region have influenced the adoption of global investment performance standards.
Stocks sold off nearly indiscriminately in the recent COVID-19-induced bear market, particularly stocks with high debt-to-equity ratios. Leverage is only part of the story because companies’ ability to carry debt — as measured by the interest coverage ratio — has held up reasonably well. Leverage and interest coverage ratios…
The contentious debate of active versus passive is perpetual. Over the past 15 years, SPIVA® Scorecard results have reflected on the trends of active fund management vis-a-vis benchmarks, wherein statistics tilt the balance in favor of indexing. This recurring feature of benchmark outperformance is contributing to the…
While S&P DJI’s SPIVA series regularly looks in more depth around the world and by fund style, perhaps now is a good time to review the longer-term trends and continued value behind indexing. Over the past 20 years (May 2000-April 2020), an investor in an active fund had a roughly 90% chance of being outperformed by the…
Even before coronavirus concerns drove the rapid first quarter correction, the late stage bull market appeared unhealthy by a number of indicators. Market concentration in a small number of the largest technology and internet-related names continues today after the sharp downturn, but we believe investors will return to a…
Four charts illustrate the first quarter’s extraordinary volatility, including the S&P 500’s swiftest drawdown on record. GIM’s Quarterly Statement reviews drawdown history, fixed income dislocation, VIX movements and value stock underperformance before looking ahead at drivers and probabilities for possible recovery…
