Príčinou sú náklady, ktoré sú pre aktívnych investorov ďaleko väčšie (vstupné, správcovské, transakčné atď.) ako pre pasívnych.

English summary: Watch a short (under 6 minutes) interview with Kenneth French, professor of finance at Dartmouth College. Professor French points out that a passive investor has to outperform the aggregate of all active managers year over year.

The reason being the high costs resulting from active trading (front loads, management fees, transaction fees etc.)

Súvisiace články :

1. Fama and French on Semi-Variance (Fama a French o semivariancii)
2. Top Mutual Funds: Luck or Skill? New Study Questions ‘Active’ Managers
3. Neistota v trhových štatistikách (Uncertainty in Stock Statistics)

English summary: Professors Fama and French do not consider private equity a diversification tool. In their opinion, the returns of private equity investments were not sufficient given the accompanying risks. Moreover, there is a lack of relevant survivorship-bias-free data.

Súvisiace články :

1. Fama and French on Semi-Variance (Fama a French o semivariancii)
2. Prečo sú investori ochotní platiť hedge fondom 2/20? (Why are investors paying 2&20 for equity-like returns?)
3. Verejné dlhy voči HDP (Public Debt Levels)

Ich výsledky boli v tejto simulácii len dielom náhody. Pri porovnaní so skutočnou výkonnosťou reálnych aktívne spravovaných fondov sa ukázalo, že v simulácii, kde bola výkonnosť len dielom náhody, bolo viac fondov s nadpriemernými (vyššími ako je pasívny výnos trhu) a menej fondov s podpriemernými výnosmi ako v reálnom svete. Inak povedané, štatisticky, podľa zákonov pravdepodobnosti, by v reálnom svete malo byť ešte viac fondov s nadpriemernými výnosmi ako je tomu teraz.

Zo záverov štúdie vyplýva, že manažéri aktívne spravovaných podielových fondov spravujú peniaze investorov horšie ako keby sa len spoliehali na hod mincou. Ak by totiž manažéri fondov mali schopnosť prekonať výnos trhu prostredníctvom napríklad časovania trhu alebo tzv. stock pickingu, bol by počet fondov s nadpriemernými výnosmi vyšší ako v simulovanom svete, kde manažéri nemajú žiadne schopnosti. Pre investorov je preto lepšie investovať do trhu ako takého prostredníctvom indexových fondov a nespoliehať sa na schopnosti manažérov aktívne spravovaných fondov.

English summray:Professor Eugene Fama discussed in an interview for the magazine US News the results of his recent study on the performance of actively managed mutual funds. In this study, co-authored with professor Kenneth French, they simulated a world in which the portfolio managers do not posses any skills whatso ever.

Their performance was just due to luck. When compared to the actual performance of real active mutual funds there were more funds with above average and less funds with below average performance in the simulated world. In other words, statistically, due to the principles of probability, there should be more funds with above average returns in the real world then there are today. 

The study concludes that active managers as a group manage the investors’ money worse than if they were tossing a coin. If there fund managers had the ability to beat the markets through e.g. market timing or stock picking strategies, there would be more funds with above average returns than in the simulated world where the managers posses no skills whatsoever. Investors would be better off investing into passively managed index funds and not relying on the skills of active fund managers.

Súvisiace články :

1. Cloning of Mutual Funds (Klonovanie podielových fondov)
2. Výkonnosť podielových fondov a poplatky (On Mutual Funds Returns and Fees)
3. Mutual Fund Incubation

English summary (taken from the original article):

In his classic 1959 book that defined modern portfolio theory, Markowitz considers the semi-variance as a potential measure of risk. For symmetric distributions, the true variance and semi-variance are interchangeable. For longer holding periods (e.g., a year or more), distributions of returns are right skewed, and no single measure of dispersion (e.g., the variance or the semi-variance) summarizes the overall risk of the distribution.

Súvisiace články :

1. Does Gold Belong in My Portfolio? (Patrí zlato do portfólia?)

English summary (taken from the original article): ”To summarize, gold makes sense as a portfolio asset only for investors who also get the consumption dividend from gold, since this “dividend” lower gold’s expected capital gain. Thus, for investors who do not value the consumption dividend, the expected return on gold does not cover its risk as a portfolio asset, (which takes account of its value for portfolio diversification).”

Žiadne súvisiace články.

Súvisiace články :

1. Index Funds vs. Active Funds
2. Active vs. passive
3. Why Investors Are Flocking to Index Funds

Súvisiace články :

1. Index Funds vs. Active Funds
2. Passive Funds Continue to Take Market Share
3. Partial Indexing Works For Wall Street, Not Investors