Active Management Notes

Data Source

Analysis conducted by Dimensional Fund Advisors using data on US-domiciled mutual funds obtained from the CRSP Survivor-Bias-Free US Mutual Fund Database, provided by the Center for Research in Security Prices, University of Chicago. Sample excludes index funds. Benchmark data provided by MSCI, Russell, and S&P. MSCI data © MSCI 2016, all rights reserved. Russell data © Russell Investment Group 1995-2016, all rights reserved. The S&P data are provided by Standard & Poor’s Index Services Group. Benchmark indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Mutual fund investment values will fluctuate, and shares, when redeemed, may be worth more or less than their original cost.

Persistence of Manager Performance

Some investors try to improve the relatively low odds of beating the market with actively managed funds by picking managers who have outperformed in the past. There’s a significant amount of research into the persistence of manager performance*. It shows that among managers that outperformed in the past, only a small fraction continued to beat their market benchmark in the future. * For example: Does Past Performance Matter? (S&P Dow Jones, August 2016); Luck versus Skill in the Cross-Section of Mutual Fund Returns (Eugene Fama and Kenneth French, The Journal of Finance, October 2010)