Passivt sparande i indexfonder | Sammanställning för artiklar, studier och liknande

Insåg att vi inte har någon samlingstråd på passivt sparande i indexfonder som samlar egna och externa artiklar. Således kommer den här.

Egna artiklar och avsnitt på ämnet:



Bästa externa källorna på samma tema

Akademiska studier

De mest inflytelserika studierna enligt mig när det gäller passivt sparande (och hänsyn tagen till riskfaktorer).

  • Markowitz, Harry, “Portfolio selection”, 1952
  • Sharpe, William, “Capital Asset Prices: A Theory of Market equillibrium under conditions of risk”, 1964
  • Fama, Eugene, “The Behavior of Stock-Market Prices”, 1965
  • Kahneman, Daniel, “Prospect Theory: an analysis of decisions under risk”, 1979
  • Brinson, Gary. “Determinants of portfolio performance”, 1986
  • Fama, Eugene. “The cross-section of expected stock returns”, 1992
  • Fama, Eugene. “Common risk factors in the returns on stocks and bonds”, 1993
  • Fama, Eugene. “Size and book-to-market factors in earnings and returns”, 1994
  • Graham, John. “Market timing ability and volatility implied in investment newsletter asset allocation recommendations”, 1994
  • Fama, Eugene, “Value vs growth: the international evidence”, 1998
  • Barras, Laurent, “False discoveries in mutual fund performance: measuring luck in estimating alphas”, 2010 and 2018
  • Goyal, Amit. “The selection and termination of investment managers by plan sponsors”, 2008
  • Steward, Scott “Absence of value: an analysis of investment allocation decisions by institutional plan sponsors”, 2009
  • Fama, Eugene. “Luck versus skill in the cross section of mutual fund returns”, 2010
  • Mulcahy, Diane. “We have met the enemy… and he is us”, 2012
  • Novy-Marx, Robert, “The other side ov value, the gross profitability premium”, 2012
  • Wahal, Sunil, “The profitability and investment premium”, 2016
  • Kaplan, Steve, “Private equity performance: returns, persistence and capital flows”, 2003

Diskussioner går bra i andra trådar

OBS! Notera att jag inte vill ha någon diskussion kring aktiv vs passiva i denna tråd. Det är en ren tråd som samlar artiklar, studier etc.

Vill du ha en diskussion kring en separat artikel går det utmärkt. Skapa en länkad tråd i så fall, den kommer att synas både här och på det andra stället. :slightly_smiling_face:

För tydlighetens skull: jag tar mig friheten att moderera friskt i denna tråd allt som har med åsikt om aktiv vs passiv. Det har vi många trådar om redan. Inte minst denna diskussionen om denna tråden.

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Sparar denna för ett framtida inlägg.

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Lite citat då artikeln är bakom betalvägg:

No actively managed stock or bond funds outperformed the market convincingly and regularly over the last five years. Index funds have generally been better.

Each year, some investors manage to do it, of course, but can they do it consistently? A new study of actively managed mutual funds by S&P Dow Jones Indices asked that question and came up with a startling result.

It found that not a single mutual fund — not one — managed to beat its benchmark in either the U.S. stock or bond markets regularly and convincingly over the last five years. These results are even worse than those of 2014 and 2015,

These findings support practical advice that has been the academic consensus for decades. Forget about trying to beat the odds and outsmarting everybody else. Instead, use low-cost stock and bond index funds that mirror the overall market, and keep them for decades. Don’t bother with fads or fancy market timing.

While it’s possible to beat index funds, it’s not easy to do over the long run, and as Paul Samuelson, the first American to win the Nobel in economics said in the 1970s, it isn’t worthwhile for most of us to try.

Lack of Persistence
Over the last five years, not a single mutual fund has beaten the market regularly, using the definition that S&P Dow Jones Indices has employed for two decades.

The S&P Dow Jones team looked at all the 2,132 broad, actively managed domestic stock mutual funds that had been operating for at least 12 months as of June 2018. (The study excluded narrowly focused sector funds and leveraged funds that, essentially, used borrowed money to magnify their returns.)

The team selected the 25 percent of the funds with the best performance over the 12 months through June 2018. Then the analysts asked how many of those funds remained in the top quarter for the four succeeding 12-month periods through June 2022.

The answer was none.

“First, it’s always hard to consistently beat the market,” he said. “We’ve got two decades that show that. Very few people can do that in the best of times. “The more subtle thing is the fact that no one has been able to do it lately,” he continued. “And what that shows is that whatever worked well for investors from, say, 2017 to 2021 just didn’t work in 2022, when the markets turned.” In other words, the markets are efficient enough that it’s hard to be better than average for long, and when trends change sharply as they did this year, nearly everyone is wrong-footed.

That’s why cheap, broad index funds make sense as core investments for the long haul, even in a year like this one, when the markets have been falling.

Flöden in i passiva fonder.

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Fama French forskning om riskfaktorer (FF5).
Finns goda anledningar att diversifiera portföljen bland fler riskfaktorer än marknadsfaktorn, kan ge bättre förväntad avkastning till lägre volatilitet om man bygger den rätt. Blir väl någon form av blandning mellan aktiv och passiv

Explains between 71% and 94% of the cross-sectional variance of expected returns for the size, value, operating profit, and investment factors in the portfolios they examine.

Dvs mycket stor del av fonders överavkastning kan förklaras genom att dom är exponerade mot dessa riskfaktorer, snarare än att förvaltaren haft skill.

Dock ska man vara medveten om att det kan ta många år av underprestation mot marknaden innan man får betalt för att ta risken, upp till 25år enligt denna doktor Gray: Episode 009: Bogleheads on Investing – guest Dr. Wesley Gray, host Rick Ferri – Rick Ferri, CFA
Kan vara mentalt jobbigt att fortsätta år efter år då.

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Fler citat: Index Fund Advisors, Inc. (IFA.COM)

The investors chief problem, and even his worst enemy, is likely to be himself.
– Benjamin Graham, The intelligent Investor; 1949

The neural activity of someone whose investments are making money is indistinguishable from that of someone who is high on cocaine or morphine.”
– Jason Zweig, Your Money & Your Brain, 2007

The dopamine rush we get from long shots is why we play the lotto, invest in IPOs, keep too much money in too few stocks, and invest with active portfolio managers instead of index funds […] Our brains are wired to force us into forecasting; it is a biological imperative. In fact, humans are born with what I’ve come to call ‘the prediction addiction.’
– Jason Zweig, Your Money & Your Brain, 2007

There is something in people; you might even call it a little bit of a gambling instinct… I tell people investing should be dull. It shouldn’t be exciting. Investing should be more like watching paint dry or watching grass grow. If you want excitement, take $800 and go to Las Vegas.
– Paul Samuelson, Ph.D., Nobel Laureate in Economics, 1970, “The Ultimate Guide to Indexing,” Bloomberg Personal Finance, 1999

When trillions of dollars are managed by Wall Streeters charging high fees, it will usually be the managers who reap outsized profits, not the clients. Both large and small investors should stick with low-cost index funds.”
–Warren Buffett, February, 2017 Shareholder Letter

The lure of fast money makes you think active, but the record proves you’re better off passive
– The Speculation Blues

Most of the mutual fund investments I have are index funds, approximately 75%.”
– Charles Schwab’s Guide to Financial Independence

Populated by unusually gifted, extremely driven individuals, the institutional funds management industry provides a nearly limitless supply of products, a few of which actually serve fiduciary aims. Identifying the handful of gems in the tons of quarry rock provides intellectually stimulating employment for the managers of endowment portfolios. […] “I erred in describing my target audiences. In fact, I have come to believe that the most important distinction does not separate individuals and institutions… few institutions and even fewer individuals exhibit the ability and commit the resources to produce risk-
adjusted excess returns.
– David Swensen, Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment

No matter what the state of the mutual fund industry, boom or bust: Investment results are more dependent on investor behavior than on fund performance
– Dalbar, QAIB 2018

Over [the past] 35 years, American business has delivered terrific results. It should therefore have been easy for investors to earn juicy returns: All they had to do was piggyback corporate America in a diversified, lower expense way. An index fund they never touched would have done the job. Instead, many investors have had experiences ranging from mediocre to disastrous.
–Warren Buffett, February, 2004, Shareholder Letter

Markets are efficient, but there are different dimensions of risk and those lead to different dimensions of expected returns. That’s what people should be concerned with in their investment decisions and not with whether they can pick stocks.
– Eugene Fama, Ph.D., Nobel Laureate in Economics, 2013 ChicagoBooth Magazine, Fall, 2013

Any pension fund manager who doesn’t have the vast majority and I mean 70% or 80% of his or her portfolio in passive investments is guilty of malfeasance, nonfeasance or some other kind of bad feasance!”
– Merton Miller, Ph.D., Nobel Laureate in Economics, 1990, “Investment Gurus”, Peter Tanous, February 1997

Properly measured, the average actively managed dollar must underperform the average passively managed dollar, net of costs.”
– William F. Sharpe, Ph.D., Nobel Laureate in Economics, 1990, “The Arithmetic of Active Management”, 1991

Professors came to a shocking conclusion, the active advantage was just an illusion.
– The Speculation Blues

Active management is little more than a gigantic con game
– Ron Ross, Ph.D. , The Unbeatable Market, 2002

By day we write about ‘Six Funds to Buy NOW!’… By night we invest in sensible index funds. Unfortunately, pro-index fund stories don’t sell magazines.”
– Anonymous, Fortune Magazine, 1999

If there are 10,000 people looking at the stocks and trying to pick winners, well, one in 10,000 is going to score, by chance alone, a great coup, and that’s all that’s going on. It’s a game, it’s a chance operation, and people think they are doing something purposeful… but they’re really not.”
– Merton Miller, Ph.D., Nobel Laureate in Economics, 1990, PBS Nova Special, “The Trillion Dollar Bet”, 2000

Very little evidence [was found] that any individual [mutual] fund was able to do significantly better than that which we expected from mere random chance
– Michael Jensen, Ph.D., “The Performance of Mutual Funds in the Period 1945-1964”, Journal of Finance, 1968

If I have noticed anything over these 60 years on Wall Street, it is that people do not succeed in forecasting what’s going to happen to the stock market.”
– Benjamin Graham, Interview with Hartman L. Butler, “An Hour with Mr. Graham”, 1976

Statistical research has shown that, to a close approximation, stock prices seem to follow a random walk with no discernible predictable patterns that investors can exploit. Such findings are now taken to be evidence of market efficiency… Only new information will move stock prices…”
– Zvi Bodie, Investments, 2004

Market timing is a wicked idea. Don’t try it ever.”
– Charles D. Ellis, Ph.D., Winning the Loser’s Game, 2002

There are two kinds of investors, be they large or small: those who don’t know where the market is headed, and those who don’t know that they don’t know. Then again, there is a third type of investor… whose livelihood depends upon appearing to know
– William Bernstein, Ph.D., M.D., The Intelligent Asset Allocator, 2000

An investor doesn’t have a prayer of picking a manager that can deliver true alpha. Even over a 20-year period, the past performance of an actively managed fund has a ton of random noise that makes it difficult, if not impossible, to distinguish luck from skill.”
– Eugene Fama, Ph.D., Nobel Laureate in Economics, 2013 65th CFA Institue Annual Conference, 2012

“I have become increasingly convinced that the past records of mutual fund managers are essentially
worthless in predicting future success. The few examples of consistently superior performance occur no more frequently than can be expected by chance
– Professor Burton G. Malkiel, Ph.D.,A Random Walk Down Wall Street, 1973

Wall Street’s favorite scam is pretending that luck is skill.”
– Ron Ross, Ph.D., The Unbeatable Market, 2002

You will almost never find a fund manager who can repeatedly beat the market. It is better to invest in an indexed fund that promises a market return but with significantly lowered fees.”
– John Bogle, The Little Book on Common Sense Investing, 2007

It is difficult to systematically beat the market. But it is not difficult to systematically throw money down a rat hole by generating commissions (and other costs).”
– Michael C. Jensen, Ph.D., Harvard University, Forbes Magazine, 1984

Fund returns are devastated by costs, taxes and inflation.”… “The miracle of compounding returns is overwhelmed by the tyranny of compounding costs
– John Bogle, The Little Book of Common Sense Investing, 2007

For the taxable investor, indexing means never having to say you’re sorry
– William Bernstein, Ph.D., M.D., The Intelligent Asset Allocator, 2002

Odds are you don’t know what the odds are
– Gary Belsky and Thomas Gilovich, Why Smart People Make Big Money Mistakes, 2000

The average long-term experience in investing is never surprising, but the short-term experience is
always surprising. We now know to focus not on rate of return, but on the informed management of risk
– Charles Ellis, Ph.D., Investment Policy, 1985

It takes between 20 and 800 years of monitoring performance to statistically prove that a money manager is skillful rather than lucky which is a lot more than most people have in mind when they say ‘long-term’ track record
– Ted Aronson, “Confessions of a Fund Pro”, Money Magazine, 1999

While much has changed over the years, some things remain the same. There is still a strong relation between risk and expected return… Some things stand the test of time.”
– James L. Davis, Ph.D., “Digging the Panama Canal”, 2004

Those who are ignorant of investment history are bound to repeat it. Historical investment returns and risks of various asset classes should be studied. Investment results, for an asset over a long enough period (greater than 20 years) are a good guide to future returns and risks of that asset.”
– William Bernstein, Ph.D., M.D., The Intelligent Asset Allocator, 2000

Design a portfolio you are not likely to trade… akin to premarital counseling advice; try to build a portfolio that you can live with for a long, long time
– Robert D. Arnott, “Is Your Alpha Big Enough to Cover Your Taxes?”, 1999

Rip Van Winkle would be the ideal stock market investor: Rip could invest in the market before his nap and when he woke up 20 years later, he’d be happy. He would have been asleep through all the ups and downs in between. But few investors resemble Mr. Van Winkle. The more often an investor counts his money or looks at the value of his mutual funds in the newspaper the lower his risk tolerance
– Richard Thaler, Ph.D., Economist, University of Chicago Booth School of Business

We can extrapolate from the study that for the long-term individual investor, who maintains a consistent asset allocation and leans toward index funds, asset allocation determines about 100% of performance
– Roger Ibbotson, Ph.D., Ibbotson Associates, “The True Impact of Asset Allocation on Returns”, 2000

Diversification is your buddy
– Merton Miller, Ph.D., Nobel Laureate in Economics, 1990,, May 30, 2012

A good portfolio is more than a long list of good stocks and bonds. It is a balanced whole, providing
the investor with protections and opportunities with respect to a wide range of contingencies
– Harry Markowitz, Ph.D., Nobel Laureate in Economics, 1990, Professor of Economics UCSD, “Portfolio Selection: Efficient Diversification of Investments”, 1959

Investment planning is about structuring exposure to risk factors
– Gene Fama, Jr., “The Error Term”, 2001

A decade ago, I really did believe that the average investor could do it himself. I was wrong. I’ve come to the sad conclusion that only a tiny minority, at most one percent, are capable of pulling it off. Heck, if Helen Young Hayes, Robert Sanborn, Julian Robertson, and the nation’s largest pension funds can’t get it right, what chance does John Q. Investor have
– William Bernstein, Ph.D., M.D., “The Probability of Success”, 2003

Index funds are the only rational alternative for almost all mutual fund investors
– Mark Hulbert, “The Prescient Are Few”, NY Times,July 13, 2008

The best way in my view is to just buy a low-cost index fund and keep buying it regularly over time, because you’ll be buying into a wonderful industry, which in effect is all of American industry… People ought to sit back and relax and keep accumulating over time.”
– Warren Buffett, MarketWatch, May 7, 2007

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Jag har håller till stor del med @janbolmeson … men inte helt och hållet.
Så här kommer några studier som motvikt som jag postade i en annan tråd för några månader sedan.

Den första allmänt kända studien verkar vara Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993) av Narasimhan Jegadeesh och Sheridan Titman.

Och en senare studie av samma författare: Momentum (2011)

Sen har vi Dissecting Anomalies (2007) av Eugene Fama och Kenneth French:

Ett par artiklar från OSAM:


Ur Fact, Fiction and Momentum Investing:

Och sen finns ju MSCI World Momentum Index.

Några andra referenser:

För att citera Factors From Scratch av OSAM igen:

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Black-Litterman modellen, en vidareutveckling av Markowitz MPT. Där investeraren tillåts vara aktiv och avvika från marknadsportföjen och optimera med en viss konfidensgrad. Avanza Autos portföljer bygger på denna modell.

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2 inlägg har sammanfogats med ett befintligt ämne: Diskussion om tråden “Passivt sparande i indexfonder | Samlingstråd för artiklar, studier och liknande”

One of the most persistent stories that money managers have whispered to themselves before going to bed every night over the past decade is that passive funds will definitely be found out in next big bear market.

Sure, they murmured, their active funds were underperforming right now, but only because stupid central banks and their stupid ultra-easy monetary policy were “distorting” financial markets.

And those evil passive funds were also distorting markets! After all, why else would record-smashing cash machine Apple and the rest of the quasi-oligopolistic technology industry dominate equity market returns over the past decade? Right?

Surely — SURELY — when central banks finally wised up, markets would puke, investors would flee the siren-like allure of cheap beta and the value of active management would shine through once more? This narrative has periodically seduced financial journalists as well (including yours truly). Lo and behold, the reality in 2022.

Morningstar’s latest Active Passive Barometer found that only 40 per cent of the almost 4,000 active funds it tracked survived and outperformed their passive peers in the 12 months through June. Only 29 per cent of active bond funds managed to do so. For what it’s worth, hedge funds aren’t doing much better, with the average fund down 6.66 per cent year to date, according to HFR (number of the beast!) In other words, the annus horribilis of 2022 is actually burnishing the case for passive investing rather than destroying it — and reinforcing the trend of the past five years.

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Exhibit 3 shows there is an exponential decrease in persistence over longer time periods. For example, while 25% of Canadian Small-/Mid-Cap Equity funds maintained their top status over three consecutive years, that number dropped drastically to zero over a five-year period. Funds across regions fared no better, with none of the U.S. Small-Cap, Canadian, Brazil or Mexico Equity funds able to stay in the top quartile over five consecutive years, indicating that when outperformance does in fact occur, it tends to be fleeting.


Unsurprisingly, the worst-performing funds across regions are likely to end up merging or liquidating. We see in Exhibit 4 that on average almost 40% of fourth-quartile funds globally disappeared over a subsequent five-year period.

The lack of persistence among active managers globally is not a new phenomenon . These results suggest that short-term success, when it occurs, may arise as much from luck as from genuine stock selection skill.

Källa: Parsing Persistence – Indexology® Blog | S&P Dow Jones Indices

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Källa: Shooting Hoops with Michael Jordan: An Allegory – Indexology® Blog | S&P Dow Jones Indices

Craig: Perhaps the most important thing to understand about SPIVA is that it stands in a long-running tradition of academic and practitioner commentary on the relative merits of active and passive investments. SPIVA data point to a number of conclusions:

  • Most active managers underperform most of the time.

  • This conclusion originally came from examining U.S. mutual fund performance net of fees. – Gross of fees, most active managers underperform most of the time.

  • Most institutional managers underperform most of the time.

  • After adjusting for risk, most active managers underperform most of the time.

  • The tendency for underperformance typically rises as the observation period lengthens.

  • Although SPIVA started by simply examining active U.S. equity managers, data on fixed income and global/international managers produce the same results.

  • These conclusions are robust across geographies.

  • When good performance does occur, it tends not to persist. Above-average past performance does not predict above-average future performance.


IGM Economic Experts Panel - där 80 akademiker svarar på frågan:

In general, absent any inside information, an equity investor can expect to do better by holding a well-diversified, low-fee, passive index fund than by holding a few stocks?

Deras svar fördelat på amerikanska och europeiska akademiker:

Europeiska akademikers svar


Det är något ångestfyllt med den här sammanställningen av artiklar som talar för indexsparande. Jag tror, skriver tror, att de som läser den här sammanställningen också är de som redan sparar passivt i indexfonder och vill ha ytterligare bekräftelse på att de gör rätt. Comfirmation bias är ett finare sätt att uttrycka det på.

Varför kom det inte samtidigt upp en parallell tråd som handlade om aktivt sparande i aktiva fonder?

Det finns få saker som jag har efterfrågat så mycket att som att någon kan sammanställa en lista på motsvarande peer-reviewade artiklar om aktiv förvaltning. Det är bara att starta en sådan tråd. :+1:

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Varför inte du? Det gick ju bra att starta denna tråden.

Så är det säkert. Såväl forskare som småsparare är bara människor. Men deras slutsatser är trots allt peer reviewed och exponerade för kritik av hela sitt forskningsskrå före publicering.

Det står vem som helst fritt att motbevisa en studie.

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Du verkar ju ha önskemålet. :slightly_smiling_face:

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Så varför startade du inte denna indextråden? :wink:

Same same :slight_smile:

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Jag skulle nog inte motarbeta det :slightly_smiling_face:.