Quant Mashup - Basis Pointing
Wakey, Wakey: Trends in Active Fund Pre-Fee Excess Returns [Basis Pointing]
In a recent posting, I compared the prices of US active mutual fund to estimates of future pre-fee excess returns. In summary, I found that the annual expenses of most active funds met or exceeded a generous estimate of their potential before-fee excess returns. That is, many funds look like
- 7 years ago, 3 Jan 2017, 08:04am -
The Price Is Wrong [Basis Pointing]
In this piece, we compare U.S. equity mutual funds’ annual expenses to our estimate of their potential future pre-fee excess returns. We demonstrate that many funds are priced to fail—their fees approach or exceed their potential future pre-fee excess returns. Whereas investors might have
- 7 years ago, 15 Dec 2016, 09:56pm -
The Look of a Winner is a Loser (h/t SystematicRelativeStrength.com) [Basis Pointing]
Investors tend to have some pretty engrained misconceptions of what “winning” funds look like. For instance, winning funds lay waste to the index and category peers; they do so over the short- and long-term; they corner really well, deftly avoiding big drawdowns and rocking during rallies; they
- 7 years ago, 6 Dec 2016, 07:08pm -