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.
In this paper, you will learn:
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.