Tuesday October 28, 2014
When Mutual Fund Managers Mimic An Index, Investors Lose.
If investors are going to pay significantly higher fees than an index fund, shouldn’t they expect significantly different holdings than the appropriate benchmark index? If a mutual fund holds similar holdings as its underlying benchmark, after expenses the mutual fund typically underperforms the index.
The Trend
In a 2009 study, Antti Petajisto suggests that mutual funds that hold at least 40% different holdings than their benchmarks are statistically truly active. Taking data from Morningstar, we can see that the 25 largest mutual funds barely constitute “actively” managed. This is measured by a relatively new statistic called Active Share. On a scale of 0 to 100, a score of 0 equals perfect correlation to an index whereas a score 100 equals an entire deviation from the index. Statistically, anything below an Active Share score of 60 means the mutual fund manager is a closet indexer.
Many of the biggest and most popular mutual funds exhibit Active Share scores close to the 60% mark. This means that many of these funds mostly hold the same exact stocks that an index fund representing the benchmark would hold.
A Closer Look At Closet Benchmarking
I wanted to illustrate closet benchmarking on a graph but when I began looking at the funds above, I couldn’t find one that actually outperformed its benchmark (I gave up after analyzing 14 of them). Instead of visually demonstrating this, let’s explore why a fund manager would choose to do this. Fund managers are under a lot of financial pressure to outperform. Since much of a fund manager’s compensation is tied to assets under management (AUM), they may do whatever it takes to bring in as much AUM as possible. One of the best ways to increase AUM is to advertise outperformance. The only way a fund manager is going to outperform the index is to take a risk and make a bet on a particular stock or sector. If they’re correct on their bet, then their financial incentives dictate they should do anything possible to continue that outperformance. Since this is practically impossible to do in the long term, once they’ve had a success (whether due to luck or skill is highly debatable), they’ll invest very similar to the index to “milk” the outperformance as long as possible. The problem with this is the investors that bought into the outperformance usually do so after the fund manager had their heyday. In effect, all the investor is doing is paying a high price a fund that mimics an index with little incentive to ever outperform again.
The Alternative
Instead of chasing returns where you probably won’t experience the outperformance you thought you were paying for, simply buy the index. You’ll forgo the allure of beating the market, but at least you won’t underperform. An investor can construct a highly diversified portfolio of index funds to achieve their long term financial goals, while adhering to a risk appropriate asset allocation. You can read more how to do this HERE.
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