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.
The Fleeting Alpha Scorecard is a semiannual report showing how welloutperforming mutual funds from one three-year period continue to outperform thereafter.It combines two other S&P Dow Jones Indices reports, the SPIVA®U.S. Scorecardand the the Persistence Scorecard.The former measures the percentage of active managers…
In 11 out of the 18 categories of domestic equity funds, the majority of funds continued to underperform their benchmarks. For example, 67% of domestic equity funds lagged the S&P Composite 1500® during the one-year period ending June 30, 2020. Additionally, the majority of large-cap (63%) and multi-cap (65%) funds…
This paper’s simple example adds to the understanding of the challenges of active management. Over long horizons, most stocks underperform the market as a whole. The challenge for an active manager is not limited to identifying the relatively small number of long-term winners. Success also depends on holding on to them when…
Pundits routinely deem many asset classes to be broken, unlikely to earn investors a reasonable future return. The authors survey several of these and show that their performance leading up to the warning was within their normal range of outcomes and often rebounded over the following five years.
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…
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…
Pantheon's research study, Persistence pays off (January 2020) examined whether a Private Equity Buyout or Venture manager’s track record is a good indicator of future performance.
Not as easy as it sounds, this first requires an understanding of the relationship between historic and future performance and the…
There were impressive results for active managers in the Brazil Corporate Bond Funds category, with 93.6% of them beating the benchmark in March 2020 and 88.2% Q1 2020. However, were these performance results due to true skill?
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…
