How Long Can a Good Fund Underperform Its Benchmark?

We found that funds that outperformed their benchmarks had also trailed that benchmark for an average of nine to 12 years sometime during that period. Not only that, funds that underperformed their benchmarks over the 15-year period had outperformed those benchmarks for comparably long stretches of time.

How we’ve defined two new performance measures for funds.
Results from our empirical study and simulations on performance-measurement periods.
The key implications of our findings for investors, consultants, and fund-of-fund managers.

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