Ciekawe zestawienie o zdolności zachowania ponadprzeciętnych wyników
przez fundusze na amerykańskim rynku w latach 2009-2013.
"The phrase “past performance is not an indicator of future
outcomes” (or some variation thereof) can be found in the fine print of most
mutual fund literature. Yet due to either force of habit or conviction,
investors and advisors consider past performance and related metrics to be
important factors in fund selection. So does past performance really
matter?"
"Very few funds can consistently stay at the top. Our studies show
that as time horizons widen, the performance persistence of top quartile
managers declines. Of the 692 funds that were in the top quartile as of
September 2011, only 7.23% managed to stay in the top quartile at the end of
September 2013. Similarly, 5.28% of the large-cap funds, 10.31% of the mid-cap
funds and 8.15% of the small-cap funds remain in the top quartile. (...)
Looking at longer-term performance, only 7.71% of large-cap funds, 0.88%
of mid-cap funds and 9.9% of small-cap funds maintained a top-half performance
over five consecutive 12-month periods. Random expectations would suggest a
repeat rate of 6.25%."
