Akateemisia tutkimuksia
Yliopistoissa on jo pitkään tutkittu onko olemassa sellaisia salkunhoitajia, jotka jatkuvasti voittaisivat vertailuindeksinsä – eli kannattaako sijoittaa aktiivisesti hoidettuihin rahastoihin.
Yksinkertaistettuna tutkimusten lopputulos on, että:
1. Aktiiviset rahastot eivät keskimäärin pärjää vertailuindekseilleen
[1] [2] [3] [4] [5] [6] [7] [9] [10] [16] [17] [18] [19]
(numerot viittaavat alla referoituihin tutkimuksiin):
2. Jonkin aikaa indeksiä paremmin pärjännyt rahasto ei yleensä tee niin jatkossa, ylituotto on useammin johtunut tuurista kuin osaamisesta
[1] [2] [3] [4] [5] [6] [8] [12] [17]
vastaväite: [7] [13] [14] [15] [16] [18]
3. Aktiivistenkin rahastojen välillä on kuitenkin eroja, lähinnä koska
[5] [7] [8] [13] [14] [15] [16] [18] [19]
4. Kustannuksilla on merkitystä
[1] [2] [3] [4] [5] [7] [11] [12]
Monet näistä tutkimuksista ovat hyvin akateemisia ja niiden matemaattinen argumentointi voi olla sijoitusammattilaisellekin vaikeaa ymmärtää.
Pääasia on kuitenkin hahmottaa, että akateeminen todistusaineisto yllä olevista rahastosijoittamisen lainalaisuuksista on massiivista. Se on hyvä muistaa, kun kuulee markkinointipuheenvuoroja siitä, miksi uusi (tai vanha) salkunhoitotyyli XYZ, siis mikä milloinkin, olisi sittenkin parempi vaihtoehto kuin kustannustehokas passiivinen sijoittaminen.
Ainakin seuraavat tutkimukset ovat ratkaisevasti vaikuttaneet rahoitustieteen ymmärrykseen sijoittamisesta:
1. PASSIIVISTA INDEKSOINTIA PUOLTAVIA TUTKIMUKSIA
[1] Jensen: ”The Performance of Mutual Funds in the Period 1945-1964”
(Journal of Finance 1968)
Conclusion: The evidence on mutual fund performance discussed above indicates not only that these 115 mutual funds were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy, but also that there is very little evidence that any individual fund was able to do significantly better than that which we expected from mere random chance. It is also important to note that these conclusions hold even when we measure the fund returns gross of management expenses (that is assume their book-keeping, research and other expenses except brokerage commissions were obtained free). Thus on average the funds apparently were not quite successful enough in their trading activities to recoup even their brokerage expenses.
[2] Jensen: ”Risk, the pricing of capital assets, and the evaluation of investment portfolios”
(Journal of Business 1969)
The results of the analysis imply that in the absence of superior forecasting ability mutual funds ought to maintain the following policies in order to provide investors with maximum benefits:
(1) Minimize management expenses and brokerage commissions. That is, a buy-and-hold policy should be followed as closely as possible.
(2) Concentrate on the maintenance of a perfectly diversified portfolio.
[3] Blake, Elton, Gruber: ”The Performance of Bond Mutual Funds”
(Journal of Business 1993)
Using linear and nonlinear models, the authors examine two samples of bond funds–one sample designed to eliminate survivorship bias and a second much larger sample. Overall and for subcategories of bond funds, they find that bond funds underperform relevant indexes postexpenses. The authors’ results are robust across a wide choice of models. They find that, on average, a percentage-point increase in expenses leads to a percentage-point decrease in performance. The nonlinear model weights closely match actual composition weights. The authors find no evidence of predictability using past performance to predict future performance for their unbiased sample.
[4] Malkiel: ”Returns from Investing in Equity Mutual Funds 1971 to 1991”
(Journal of Finance 1995)
Several recent studies suggest that equity mutual fund managers achieve superior returns and that considerable persistence in performance exists. This study utilizes a unique data set including returns from all equity mutual funds existing each year. These data enable us more precisely to examine performance and the extent of survivorship bias. In the aggregate, funds have underperformed benchmark portfolios both after management expenses and even gross of expenses. Survivorship bias appears to be more important than other studies have estimated. Moreover, while considerable performance persistence existed during the 1970s, there was no consistency in fund returns during the 1980s.
[5] Carhart: ”On Persistence in Mutual Fund Performance”
(Journal of Finance 1997)
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in mean and risk-adjusted returns of equity mutual funds. The only significant persistence not explained is concentrated in strong underperformance by the worst return mutual funds. Expenses have at least a one-for-one negative impact on mutual fund performance, and the average mutual fund transaction cost is 0.95% of the trade’s market value. I also find a strong negative relation between load fees and mutual fund performance, suggesting that load funds underperform no-load funds by approximately 80 basis points per year. The results do not support the existence of skilled or informed mutual fund portfolio managers.
[6] Jain, Wu: ”Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows” (Journal of Finance 2000)
We examine a sample of 294 mutual funds that are advertised in Barron’s or Money magazine. The preadvertisement performance of these funds is significantly higher than that of the benchmarks. We test whether the sponsors select funds to signal continued superior performance or they use the past superior performance to attract more money into the funds. Our analysis shows that there is no superior performance in the postadvertisement period. Thus, the results do not support the signaling hypothesis. On the other hand, we find that the advertised funds attract significantly more money in comparison with a group of control funds.
[7] Wermers: ”Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses”
(Journal of Finance 2000)
We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent. Of the 2.3 percent difference between these results, 0.7 percent is due to the underperformance of nonstock holdings, whereas 1.6 percent is due to expenses and transactions costs. Thus, funds pick stocks well enough to cover their costs. Also, high-turnover funds beat the Vanguard Index 500 fund on a net return basis. Our evidence supports the value of active mutual fund management.
[8] Zheng: ”Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability”
(Journal of Finance 1999)
A previous study finds evidence to support selection ability among active fund investors for
equity funds listed in 1982. Using a large sample of equity funds, I find evidence that funds that receive more money subsequently perform significantly better than those that lose money. This effect is short-lived and is largely but not completely explained by a strategy of betting on winners. In the aggregate, there is no significant evidence that funds that receive more money subsequently beat the market. However, it is possible to earn positive abnormal returns by using the cash flow information for small funds.
[9] Statman: ”Socially Responsible Mutual Funds”
(Financial Analysts Journal 2000)
Conversations about socially responsible investing are difficult because they combine facts with beliefs. Proponents of socially responsible investing believe that combining social goals with investments does good; opponents believe that such combinations are unwise or even illegitimate. In this article, I try to separate facts from beliefs. I report that the Domini Social Index, an index of socially responsible stocks, did better than the S&P 500 Index and that socially responsible mutual funds did better than conventional mutual funds over the 1990-98 period but the differences between their risk-adjusted returns are not statistically significant. Both groups of mutual funds trailed the S&P 500 Index.
[10] Pástor, Stambaugh: ”Mutual Fund Performance and Seemingly Unrelated Assets”
(CRSP Working Papers, February 2001)
Estimates of standard performance measures can be improved by using returns on assets not used to define those measures. As in numerous previous studies, we find that estimated alphas for the majority of equity mutual funds are negative. For each investment objective and each age group, we find a posterior probability near 100% that the average of the funds’ CAPM alphas is negative when the non-benchmark assets are excluded. Alphas for most funds remain negative when defined with respect to multiple benchmarks.
[11] Chalmers, Edelen, Kadlec: ”Mutual fund trading costs”
(Rodney L. White Center for Financial Research Working Papers 1999)
We estimate trading costs for a sample of equity mutual funds and find that these costs average 0.78% of fund assets per year. There is substantial cross sectional variation in these costs, with an inter-quartile range of 0.59%. Trading costs are negatively related to fund returns. In fact, the explanatory power of trading costs is as strong as that of the expense ratio. We find that the cross-sectional variation in trading costs is greater than that implied by turnover, and trading costs have more explanatory power for fund returns. Nonetheless, we find that turnover is an important factor in assessing mutual fund trading costs.
[12] Malhotra, McLeod: ”An Empirical Analysis of Mutual Fund Expenses”
(Journal of Financial Research 1997)
Mutual fund investors are subjected many fees and expenses related to both the management of the fund assets and the sale and distribution of the fund’s shares. In recent years these expenses have increased as a percentage of assets. The preoccupation of mutual fund investors with performance evaluation as a selection criterion is misguided because of the volatility of investment returns. Whether the fund’s performance is due to superior management or just good luck is difficult to determine. On the other hand, mutual fund expenses are stable. As such, the mutual fund investor should pursue a policy of choosing funds with low expenses. In this paper we conduct an empirical analysis of these expenses. The results of our analysis of equity funds suggest that expense-conscious investors should look at the fund size, age, turnover ratio, cash ratio, and the existence of a 12b-1 fee as key determinants of expenses. Our analysis of bond funds suggests that the key factors are the fund’s sales charge, weighted average maturity, size, and the existence of a 12b-1 fee.
2. AKTIIVISTA SALKUNHOITOA PUOLTAVIA TUTKIMUKSIA
(näitäkin siis löytyy)
[13] Grinblatt, Titman: ”The Persistence of Mutual Fund Performance”
(Journal of Finance 1992)
This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.
[14] Grinblatt, Titman, Wermers, Daniel: ”Measuring Mutual Fund Performance with Characteristic-Based Benchmarks”
(Journal of Finance 1997)
This article develops and applies new measures of portfolio performance which use
benchmarks based on the characteristics of stocks held by the portfolios that are evaluated.
Specifically, the benchmarks are constructed from the returns of 125 passive portfolios that are matched with stocks held in the evaluated portfolio on the basis of the market capitalization, book-to-market, and prior-year return characteristics of those stocks. Based on these benchmarks, ”Characteristic Timing” and ”Characteristic Selectivity” measures are developed that detect, respectively, whether portfolio managers successfully time their portfolio weightings on these characteristics and whether managers can select stocks that outperform the average stock having the same characteristics. We apply these measures to a new database of mutual fund holdings covering over 2500 equity funds from 1975 to 1994. Our results show that mutual funds, particularly aggressive-growth funds, exhibit some selectivity ability, but that funds exhibit no characteristic timing ability.
[15] Chevalier, Ellison: ”Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance”
(Journal of Finance 1999)
We examine whether mutual fund performance is related to characteristics of fund managers that may indicate ability, knowledge, or effort. In particular, we study the relationship between performance and the manager’s age, the average composite SAT score at the manager’s undergraduate institution, and whether the manager has an MBA. Although the raw data suggest striking return differences between managers with different characteristics, most of these can be explained by behavioral differences between managers and by selection biases. After adjusting for these, some performance differences remain. In particular, managers who attended higher-SAT undergraduate institutions have systematically higher risk-adjusted excess returns.
[16] Blake, Elton, Gruber: ”The Persistence of Risk-Adjusted Mutual Fund Performance”
(Journal of Business 1996)
The authors examine predictability for stock mutual funds using risk-adjusted returns. They find that past performance is predictive of future risk-adjusted performance. Applying modern portfolio theory techniques to past data improves selection and allows the authors to construct a portfolio of funds that significantly outperforms a rule based on past rank alone. In addition, they can form a combination of actively managed portfolios with the same risk as a portfolio of index funds but with higher mean return. The portfolios selected have small but statistically significant positive risk-adjusted returns during a period where mutual funds in general had negative risk-adjusted returns.
[17] Baks, Metrick, Wachter: ”Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation”
(Working Paper 1999)
The average active fund underperforms index funds on a risk-adjusted basis. Skilled management, if it exists at all, is difficult to detect. When we analyze a sample of 1437 managers extant at the end of 1996, we cannot reject the null hypothesis that the best performance is due to chance. These facts by themselves may lead investors to shun actively managed funds. Our analysis shows that this conclusion is premature. Given our current methods of performance evaluation, the prior beliefs necessary to support some investment in active managers could not possibly be distinguished from ”zero skill among managers” unless we could observe hundreds of thousands of managers over many decades. Thus, we conclude that the case against actively managed funds cannot rely solely on the statistical evidence.
[18] Gruber: ”Another Puzzle: The Growth in Actively Managed Mutual Funds”
(Journal of Finance 1996)
Mutual funds represent one of the fastest growing type of financial intermediary in the American economy. The question remains as to why mutual funds and in particular actively managed mutual funds have grown so fast, when their performance on average has been inferior to that of index funds. One possible explanation of why investors buy actively managed open end funds lies in the fact that they are bought and sold at net asset value, and thus management ability may not be priced. If management ability exists and it is not included in the price of open end funds, then performance should be predictable. If performance is predictable and at least some investors are aware of this, then cash flows into and out of funds should be predictable by the very same metrics that predict performance. Finally, if predictors exist and at least some investors act on these predictors in investing in mutual funds, the return on new cash flows should be better than the average return for all investors in these funds. This article presents empirical evidence on all of these issues and shows that investors in actively managed mutual funds may have been more rational than we have assumed.
[19] Hendricks, Patel, Zeckhauser: ”Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988”
(Journal of Finance 1993)
The relative performance of no-load, growth-oriented mutual funds persists in the near term, with the strongest evidence for a one-year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk-adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survivorship bias. Investigations with a different (previously used) data set and with some post-1988 data confirm the finding of persistence.
3. JA LOPUKSI VIELÄ KLASSIKKO…
[20] Markowitz: ”Portfolio Selection”
(Journal of Finance 1952)
We first consider the view that the investor does (or should) maximize discounted expected, or anticipated, returns. This rule is rejected both as a hypothesis to explain, and as a maximum to guide investment behavior. We next consider the rule that the investor does (or should) consider expected return a desirable thing and variance of return an undesirable thing. This rule has many sound points, both as a maxim for, and hypothesis about, investment behavior. We illustrate geometrically relations between beliefs and choice of portfolio according to the ”expected returns – variance of returns” rule.