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

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.

3 gillningar

Du verkar ju ha önskemålet. :slightly_smiling_face:

4 gillningar

Så varför startade du inte denna indextråden? :wink:

Same same :slight_smile:

4 gillningar

Jag skulle nog inte motarbeta det :slightly_smiling_face:.

Av samma skäl som jag inte startade en tråd som samlar artiklar om aktiv förvaltning i aktiva fonder.

Det blir inget bra forum om ingen startar nya trådar tänker jag :slight_smile:

3 gillningar

Saken är att det finns extremt få artiklar för aktiv förvaltning. Det är inte som att jag ser dem och sedan försöker dölja dem. :slight_smile:

1 gillning

Desto lättare att samla de alla kanske :slightly_smiling_face:.

Precis så tänkte jag också.

Några bilder från: Active Fund Managers Fail to Impress Investors | Morningstar

Fördelat per kategori

Källa: "Financial Times: Super passive goes ballistic; active is atrocious "

Från: Paradox of skill som även vårt avsnitt:

Sammanfattning från Michael Mauboussin:

Say I invited you over to my house to play poker on Saturday night — and that you like to win. Your first question should be, “Who else will be there?” If I tell you that there will be some players that are as skilled as you and a couple of rich players who don’t play well, your response should be: “I’ll be right over.” Why? While you know the amount of money entering the house at the beginning of the evening and leaving at the end of the night is the same, you can see how your gain will come at the expense of the weaker players.

On the other hand, if I tell you that the players expected that evening have skill that is equivalent to yours, the response should be: “No thanks, I’m busy.” In this case, there’s no reason to believe that you will come out a winner because there is no mismatch in relative skill. And if you find yourself in a game unsure of which players are weak or strong, learn a lesson from Warren Buffett: “If you’ve been in the game 30 minutes and you don’t know who the patsy is, you’re the patsy.”

In cases where two or more players have the same level of skill — whether that skill is high or low doesn’t matter — the skills of the players offset one another and luck becomes the primary determinant of the outcome. “Players” can be athletes, investors, or business executives. In many competitive realms, including investing, the skills of the participants have improved on an absolute basis but have shrunk on a relative basis. Today’s investor has vastly more resources and training than his or her predecessor from years past. The problem is that investors, broadly speaking, have gotten much better which means that the difference between the skill of the best and the average participant isn’t as great as it used to be.

1 gillning

Måste bara flika in en sak! :rofl:


Är oerhört lik min barndoms favoritpyssel!


Är det vanligt att grafer är så raka, åt olika håll?

1 gillning

Från en ny studie som bara kom för några dagar sedan som intervjuar 69 “investment professionals” i London, Chicago och New York. Aktörerna valdes ut för att vara representatativa för “aktiv förvaltnings”-lägret (läs mer på sid 9). Det var t.ex. förvaltare med ett genomsnittligt ansvar för 140 miljardersportföljer. På analytikersidan hade man folk med 1 - 30 års erfarenhet.

Sjukt många intressanta rader, först min favorit:

All my own money is in index funds. (SS 27)


Först sådant som du redan känner till

For example, based on data from 1970-2001, Malkiel (2003) shows that the median US mutual fund produced returns more than 175 basis points lower than returns from the S&P index aft er expenses.

More recently, Morningstar’s comprehensive analysis of the performance of Active versus Passive funds in the US equity market shows that only 23% of Active funds outperformed their Passive counterparts over the period of 2010-2020 (Johnson, 2021)

The performance of Active vs Passive funds is also regarded as a cause of the consistent capital flows from Active fund management to Passive over the past two decades. Chronic underperformance, combined with relatively high fees, lead commentators to describe financial intermediation (of which Active fund management is a major component) as either grossly inefficient (Philippon, 2015) at best, or as an unjustifiable tax on society at worst (Arjaliès et al, 2017)

Om att det mer och mer går mot “vi” och “dem”

Jag som fetstilat.

Regarding actors involved in Active investments as members of a community of practice allows us to address the social and cultural dimensions of the seemingly technical knowledge associated with Active investment. The Active investment community of practice evinces a particular worldview. This worldview is built around the possibility of ‘generating alpha’ (Taffler et al, 2017) or in the mantra to ‘beat the market’ (Ellis, 1975). This elusive goal can be understood, simply, as improving returns while not taking on additional risk. However, as our findings indicate, this belief is more far-reaching than its mere economic meaning. Those who do appear to successfully ‘generate alpha’ on a consistent basis can be accorded celebrity status and their investment advisors labelled ‘star research analysts’ via mechanisms such as annual Institutional Investor surveys (Traflet and McGoun, 2008).

Notwithstanding these practices that undergird alpha generation discourse, self-belief in the Active investment community has been shown to be fragile (Chong and Tuckett, 2015). Fund managers tend to both believe and not believe that they can ‘beat the market’ (Taffler et al, 2017), and, relatedly, both believe and not believe in market efficiency (Ortiz, 2021; Roscoe and Willman, 2021).

This is suggestive of a certain cognitive dissonance (Festinger, 1957) held by members of the Active investment community. The rise of Passive investing introduces an interesting dynamic to this epistemic tension. On one hand, the growing success of Passive strategies like index investing carries with it the premise that it is not possible to beat the market.

As such, the conflict in the Active community between circumstance and belief intensifies, much in the way that it does when members of religious groups are faced with failed prophecies (Hood, 2011). However, in such circumstances, members of religious or other groups often tend to increase their commitment to their beliefs and even start to proselytize more vigorously.

In sociological terms, such responses constitute attempts to avoid the ‘hysteresis’ that ensues when objective possibilities are out of sync with subjective aspirations (Bourdieu, 2000). This characteristic of the Active community – its core belief in the possibility of beating the market – invites re-examination in the light of the rise of Passive investment.

eller sammanfattat såsom:

Community of practices defend themselves, the paper argues, in three ways. First, they assert a strong identity, to try to rally previously disparate members of the community together by offering a renewed sense of purpose. Secondly, they seek to delegitimise the knowledge of those who aren’t in their group and establish boundaries between ‘us’ and ‘them’. Thirdly, they frame their area of expertise as inaccessible by anyone other than themselves.

Sagt av dessa aktiva förvaltare

There was widespread recognition that more and more funds were being ‘lost to Passive’. This trend was explained by superior fund performance and lower fee levels. Indeed, the shift towards Passive was regarded as logical by many fund managers, who conceded that most investors would lose money after Active fees were considered.

You can see the attraction of Passive because you’re saying, well most fund managers don’t beat the index. So, why am I paying all these high fees when on Passive products the fees will be lower. [And] in terms of the performance [it] is the same or actually slightly superior. (BS59)

En artikel om studien:

In summary, interviewees confirmed that Passive investing is a growing phenomenon in financial markets, even to the extent that many recommended Passive investment vehicles rather than their own, actively managed funds

Professor Spence says he was struck by how candid some of the interviewees were. “We were really surprised that some individuals conceded the superiority of index funds,” he says. “That people even said ‘I wouldn’t invest in my own fund’ is truly remarkable and indicative of high levels of reflection and honesty, at least among some fund managers and analysts.”

“We had to coin a new phrase here to capture what was going on (in these interviews),” says Professor Spence, “and we chose the term epistemic opportunism. This effectively means snatching at any explanation that portrays active fund management as superior. The ‘epistemic’ element is to do with knowledge: active managers still argue that their knowledge base and ways of investing are superior, even if they concede that they tend to underperform passive funds on the whole.”

3 gillningar

2 inlägg har sammanfogats med ett befintligt ämne: Hur går man upp ur sängen som en aktiv förvaltare när man vet att det inte fungerar?

Från: SPIVA: U.S. Persistence Scorecard Mid-Year 2022

Can investment results be attributed to skill or luck? Genuine skill is more likely to persist, while luck is random and fleeting. Thus, one measure of skill is the consistency of a fund’s performance relative to its peers. The Persistence Scorecard measures that consistency and shows that, regardless of asset class or style focus, active management outperformance is typically relatively short-lived, with few funds consistently outranking their peers.

The first half of 2022 saw the winds change materially for investors across asset classes, with active fund persistence decreasing in comparison to previous reports. Within each of our reported domestic equity categories, among all the funds whose performance placed them in the top quartile for the 12 months ending June 2020, not a single fund managed to remain in the top quartile over the next two years.

Exhibit 1 illustrates the evolution of top-half persistence statistics over time for all actively managed domestic equity funds, compared to what might be expected under a random distribution.

Over a five-year horizon , it was statistically near impossible to find consistent outperformance. Among all actively managed funds whose performance over the 12 months ending June 2018 placed them in the top quartile within their respective category, not one fund in any of our reported fixed income and equity categories remained in the top quartile in each of the four subsequent one-year periods ending in June 2022.

1 gillning

Ett inlägg har sammanfogats med ett befintligt ämne: Hur går man upp ur sängen som en aktiv förvaltare när man vet att det inte fungerar?

När jag ändå har uppe farten idag. Mer SPIVA “A Spider Spins a SPIVA Special”:

Exhibit 1 compares the performance of actively managed U.S. equity mutual funds over the nearly 30-year period, using the same analytical engines and data sources as our regular SPIVA U.S. Scorecards and based on the nearest quarter ends. Statistics for the U.S. large-cap core category and all domestic U.S. equity active funds are highlighted.

The figures tell a remarkable story. Over the full period, just 2% of actively managed Large-Cap Core funds beat the S&P 500. Even in categories such as small- and mid-sized stocks, and growth—which benefited from the tailwinds of an outperforming universe—a minimum of 81% of actively managed funds underperformed the benchmark. Overall, across all categories, 90% of actively managed funds underperformed the S&P 500.

The higher fees typically charged by actively managed funds may be part of the reason that so many funds underperformed, although other factors may have also been at play. Index funds and ETFs charge fees too, but the results of Exhibit 1 would not be significantly altered when accounting for them.


Exhibit 2 plots the distribution of annualized returns for all the actively managed domestic equity funds that survived to post a full-period return. It also shows the breakdown of fund survivorship. For reference, the “Spider” had an initial fee of 0.2% annually (it was later reduced to just under 0.1%).

Källa: The percentage of outperforming funds fell again in 2021 | TEBI

Exhibit 2 shows the distribution of excess returns among surviving active large-blend funds for the decade through December 2021. The negative skew shows that the cost of picking an unsuccessful manager was generally greater than the gains associated with one that succeeded over this span.

Exhibit 5 plots rolling success rates for actively managed funds in the category that represents a crossroads in the U.S. Morningstar Style Box. Short-term success rates can fluctuate dramatically in this space, as managers are buffeted by shifts in style leadership across the small-to-large and value-to-growth spectrums. But over a longer horizon the signal resonates with those that register across most other categories–long-term successes are rare.

The difference between active and passive funds’ asset-weighted returns also contains useful information. In those cases where passive funds’ asset-weighted returns exceeded those of active funds, investors generally had more success with the former, and vice versa. So, over the past 10 years, investors generally fared much better with large-growth index funds than active ones. Conversely, they were better served by active managers in the emerging-markets categories than passive options.