Mutual Funds – Historic Analysis: US Small Cap

Small cap mirage - running 16,500 investment strategy combinations over 20 years highlights the delusion of leveraging basic historical analysis for selecting small cap funds that consistently beat the index! Note that 20% of the funds reclassified themselves (some more than 4 times), there is marginal prediction power in performance measures (less than 1 in 5 chances), performance has struggled to beat the Russell 2000, Covid literally flipped the signals and yet, over the last decade the US Small Cap mutual fund market grew 2.5x!  For the US Small Cap mutual fund market, assuming the Russell...

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US Mid Caps – Historic Analysis: Are you always wrong?

$816 billion invested and you are lucky if you get what you think you are buying!  43% of the funds have reclassified themselves (some more than 4 times), there is marginal prediction power in performance measures (less than 1 in 5 chances), performance has struggled to beat the Russell Mid Cap TR USD and yet, over the last decade the US Mid Cap mutual fund market grew 2.5x!   Overall, for the US Mid Cap mutual fund market, assuming the Russell Mid Cap TR USD as the index, there may be lesser value in looking at historical price...

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US Large Cap Mutual Funds – Basic Historic Analysis: are you always wrong?

Pretty much - more than 75% of the time. Unfortunately, with reference to the SP500 TR USD you will only be selecting top performers maybe 25% of the time (depending on the measures and evaluation criteria). Irrespective, over the last decade the US Large Cap mutual fund market grew 4x despite average relative poor performance versus the Index - $8 Trillion chasing fool's gold? For the overall US Large Cap mutual fund market, assuming the SP500 TR USD as the index, there may be lesser value in looking at historical price data (and the derived performance measures) as selection criteria. As...

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US AGG Mutual Funds – Basic Historic Analysis: Are you always wrong?

With reference to the US AGG Mutual Funds, broadly speaking no. For the overall US AGG mutual fund market, assuming the Bloomberg US Agg Bond TR USD as the index, there is value in looking at historical price data (and the derived performance measures). As illustrated in Table 1, the overall market (without sampling) generated a 0.52 - 0.58% average annualized excess return over the Index (for each of 1, 2-, 3-, 5- or 10-year periods over the 12/31/2000 - 12/31/2022 evaluation period).  With sampling, based on 40+ performance measures as illustrated in Table 2, there can be...

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