Fund doing badly? Maybe it's you
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Está muito interessante o estudo (apesar de estar repetido no mesmo post).
Cumprimentos
JCS
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JCS
---Tudo o que for por mim escrito expressa apenas a minha opinião pessoal e não é uma recomendação de investimento de qualquer tipo---
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https://twitter.com/JCSTrendTrading
"We can confidently predict yesterdays price. Everything else is unknown."
"Every trade is a test"
"Price is the aggregation of everyone's expectations"
"I don't define a good trade as a trade that makes money. I define a good trade as a trade where I did the right thing". (Trend Follower Kevin Bruce, $5000 to $100.000.000 in 25 years).
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Fund doing badly? Maybe it's you
http://www.iht.com/articles/2006/02/26/ ... street.php
Fund doing badly? Maybe it's you
By Mark Hulbert The New York Times
SUNDAY, FEBRUARY 26, 2006
Most mutual fund investors have only themselves to blame if their portfolios seriously lag behind the market. That is the conclusion of a new study that says the typical investor has an atrocious sense of timing.
People tend to dump mutual funds just before the funds enter several- year periods of above-average performance, and to buy funds that are about to sag. In fact, the study found that the performance of most fund portfolios would improve markedly if the owners just left well enough alone.
The study, "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," was conducted by two finance professors, Andrea Frazzini of the University of Chicago and Owen A. Lamont of Yale. A copy is at http://mba.yale.edu/faculty/pdf/lamontdumb_money.pdf .
Investors tend to blame fund managers for poor returns, but the professors argue that this is not entirely fair. By focusing on the decisions that investors make in shifting money into and out of various funds, the professors found that managers were more victims than perpetrators.
"It is hard for a fund manager to be smarter than his clients," the researchers wrote. And, on average, according to the study, those clients are really "dumb" about which funds should be bought and sold.
To illustrate, the researchers point out that investors in 1999 sent $37 billion to the equity mutual funds in the Janus fund family but only $16 billion to those at Fidelity Investments, even though Fidelity's domestic stock funds had three times more assets under management. Undoubtedly, this was motivated in large part by the Janus funds' heavier technology allocation.
Over the next two years, of course, the Internet bubble would burst and technology stocks in general, and Janus' funds in particular, would perform horribly. If investors had not so heavily favored Janus over Fidelity in 1999, they would have lost a lot less money during the bear market of 2000 to 2002.
The professors concede that this example is extreme. But based on their analysis of domestic equity mutual funds from 1980 to 2003, they emphasize that it is by no means unique.
They reached this conclusion after comparing the stocks that were most popular among mutual funds with those most out of favor. To identify these stocks, the professors looked at the percentage of each stock's outstanding shares owned by mutual funds.
They calculated the change in that percentage attributable to investors' favoring some funds over others, an indicator they called flow. The 20 percent of stocks with the most negative flow over the trailing three years - those with the biggest decline in fund ownership - performed 10.7 percent better per year, on average, than the 20 percent with the most positive flow.
That means investors who bought the stocks with the most negative flow and sold short an equal dollar amount of the positive-flow stocks would have had a 10.7 percent return each year, on average. And such a strategy would have been very low-risk, because it involved no bets on the direction of the overall market.
To be sure, the professors did not take transaction costs into account, so an investor's actual returns in following this strategy would have been lower. But the professors emphasize that because turnover was low, those returns would have still been substantial.
The professors had another reason to be confident that they were onto something important. They found that the performance of stocks whose flow percentages were between the two extremes fell right into line - improving, on average, as the flow became more negative.
Just by sticking with the funds you own or by investing in an index fund that mirrors the market, you can resist the temptation to buy the flavor of the month and dump a short-term loser. That alone would improve returns for the average fund investor, according to the professors.
Mark Hulbert is editor of The Hulbert Financial Digest, a service of MarketWatch.
Most mutual fund investors have only themselves to blame if their portfolios seriously lag behind the market. That is the conclusion of a new study that says the typical investor has an atrocious sense of timing.
People tend to dump mutual funds just before the funds enter several- year periods of above-average performance, and to buy funds that are about to sag. In fact, the study found that the performance of most fund portfolios would improve markedly if the owners just left well enough alone.
The study, "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," was conducted by two finance professors, Andrea Frazzini of the University of Chicago and Owen A. Lamont of Yale. A copy is at http:// mba.yale.edu/faculty/pdf/lamontdumb–money.pdf.
Investors tend to blame fund managers for poor returns, but the professors argue that this is not entirely fair. By focusing on the decisions that investors make in shifting money into and out of various funds, the professors found that managers were more victims than perpetrators.
"It is hard for a fund manager to be smarter than his clients," the researchers wrote. And, on average, according to the study, those clients are really "dumb" about which funds should be bought and sold.
To illustrate, the researchers point out that investors in 1999 sent $37 billion to the equity mutual funds in the Janus fund family but only $16 billion to those at Fidelity Investments, even though Fidelity's domestic stock funds had three times more assets under management. Undoubtedly, this was motivated in large part by the Janus funds' heavier technology allocation.
Over the next two years, of course, the Internet bubble would burst and technology stocks in general, and Janus' funds in particular, would perform horribly. If investors had not so heavily favored Janus over Fidelity in 1999, they would have lost a lot less money during the bear market of 2000 to 2002.
The professors concede that this example is extreme. But based on their analysis of domestic equity mutual funds from 1980 to 2003, they emphasize that it is by no means unique.
They reached this conclusion after comparing the stocks that were most popular among mutual funds with those most out of favor. To identify these stocks, the professors looked at the percentage of each stock's outstanding shares owned by mutual funds.
They calculated the change in that percentage attributable to investors' favoring some funds over others, an indicator they called flow. The 20 percent of stocks with the most negative flow over the trailing three years - those with the biggest decline in fund ownership - performed 10.7 percent better per year, on average, than the 20 percent with the most positive flow.
That means investors who bought the stocks with the most negative flow and sold short an equal dollar amount of the positive-flow stocks would have had a 10.7 percent return each year, on average. And such a strategy would have been very low-risk, because it involved no bets on the direction of the overall market.
To be sure, the professors did not take transaction costs into account, so an investor's actual returns in following this strategy would have been lower. But the professors emphasize that because turnover was low, those returns would have still been substantial.
The professors had another reason to be confident that they were onto something important. They found that the performance of stocks whose flow percentages were between the two extremes fell right into line - improving, on average, as the flow became more negative.
Just by sticking with the funds you own or by investing in an index fund that mirrors the market, you can resist the temptation to buy the flavor of the month and dump a short-term loser. That alone would improve returns for the average fund investor, according to the professors.
Mark Hulbert is editor of The Hulbert Financial Digest, a service of MarketWatch
Fund doing badly? Maybe it's you
By Mark Hulbert The New York Times
SUNDAY, FEBRUARY 26, 2006
Most mutual fund investors have only themselves to blame if their portfolios seriously lag behind the market. That is the conclusion of a new study that says the typical investor has an atrocious sense of timing.
People tend to dump mutual funds just before the funds enter several- year periods of above-average performance, and to buy funds that are about to sag. In fact, the study found that the performance of most fund portfolios would improve markedly if the owners just left well enough alone.
The study, "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," was conducted by two finance professors, Andrea Frazzini of the University of Chicago and Owen A. Lamont of Yale. A copy is at http://mba.yale.edu/faculty/pdf/lamontdumb_money.pdf .
Investors tend to blame fund managers for poor returns, but the professors argue that this is not entirely fair. By focusing on the decisions that investors make in shifting money into and out of various funds, the professors found that managers were more victims than perpetrators.
"It is hard for a fund manager to be smarter than his clients," the researchers wrote. And, on average, according to the study, those clients are really "dumb" about which funds should be bought and sold.
To illustrate, the researchers point out that investors in 1999 sent $37 billion to the equity mutual funds in the Janus fund family but only $16 billion to those at Fidelity Investments, even though Fidelity's domestic stock funds had three times more assets under management. Undoubtedly, this was motivated in large part by the Janus funds' heavier technology allocation.
Over the next two years, of course, the Internet bubble would burst and technology stocks in general, and Janus' funds in particular, would perform horribly. If investors had not so heavily favored Janus over Fidelity in 1999, they would have lost a lot less money during the bear market of 2000 to 2002.
The professors concede that this example is extreme. But based on their analysis of domestic equity mutual funds from 1980 to 2003, they emphasize that it is by no means unique.
They reached this conclusion after comparing the stocks that were most popular among mutual funds with those most out of favor. To identify these stocks, the professors looked at the percentage of each stock's outstanding shares owned by mutual funds.
They calculated the change in that percentage attributable to investors' favoring some funds over others, an indicator they called flow. The 20 percent of stocks with the most negative flow over the trailing three years - those with the biggest decline in fund ownership - performed 10.7 percent better per year, on average, than the 20 percent with the most positive flow.
That means investors who bought the stocks with the most negative flow and sold short an equal dollar amount of the positive-flow stocks would have had a 10.7 percent return each year, on average. And such a strategy would have been very low-risk, because it involved no bets on the direction of the overall market.
To be sure, the professors did not take transaction costs into account, so an investor's actual returns in following this strategy would have been lower. But the professors emphasize that because turnover was low, those returns would have still been substantial.
The professors had another reason to be confident that they were onto something important. They found that the performance of stocks whose flow percentages were between the two extremes fell right into line - improving, on average, as the flow became more negative.
Just by sticking with the funds you own or by investing in an index fund that mirrors the market, you can resist the temptation to buy the flavor of the month and dump a short-term loser. That alone would improve returns for the average fund investor, according to the professors.
Mark Hulbert is editor of The Hulbert Financial Digest, a service of MarketWatch.
Most mutual fund investors have only themselves to blame if their portfolios seriously lag behind the market. That is the conclusion of a new study that says the typical investor has an atrocious sense of timing.
People tend to dump mutual funds just before the funds enter several- year periods of above-average performance, and to buy funds that are about to sag. In fact, the study found that the performance of most fund portfolios would improve markedly if the owners just left well enough alone.
The study, "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," was conducted by two finance professors, Andrea Frazzini of the University of Chicago and Owen A. Lamont of Yale. A copy is at http:// mba.yale.edu/faculty/pdf/lamontdumb–money.pdf.
Investors tend to blame fund managers for poor returns, but the professors argue that this is not entirely fair. By focusing on the decisions that investors make in shifting money into and out of various funds, the professors found that managers were more victims than perpetrators.
"It is hard for a fund manager to be smarter than his clients," the researchers wrote. And, on average, according to the study, those clients are really "dumb" about which funds should be bought and sold.
To illustrate, the researchers point out that investors in 1999 sent $37 billion to the equity mutual funds in the Janus fund family but only $16 billion to those at Fidelity Investments, even though Fidelity's domestic stock funds had three times more assets under management. Undoubtedly, this was motivated in large part by the Janus funds' heavier technology allocation.
Over the next two years, of course, the Internet bubble would burst and technology stocks in general, and Janus' funds in particular, would perform horribly. If investors had not so heavily favored Janus over Fidelity in 1999, they would have lost a lot less money during the bear market of 2000 to 2002.
The professors concede that this example is extreme. But based on their analysis of domestic equity mutual funds from 1980 to 2003, they emphasize that it is by no means unique.
They reached this conclusion after comparing the stocks that were most popular among mutual funds with those most out of favor. To identify these stocks, the professors looked at the percentage of each stock's outstanding shares owned by mutual funds.
They calculated the change in that percentage attributable to investors' favoring some funds over others, an indicator they called flow. The 20 percent of stocks with the most negative flow over the trailing three years - those with the biggest decline in fund ownership - performed 10.7 percent better per year, on average, than the 20 percent with the most positive flow.
That means investors who bought the stocks with the most negative flow and sold short an equal dollar amount of the positive-flow stocks would have had a 10.7 percent return each year, on average. And such a strategy would have been very low-risk, because it involved no bets on the direction of the overall market.
To be sure, the professors did not take transaction costs into account, so an investor's actual returns in following this strategy would have been lower. But the professors emphasize that because turnover was low, those returns would have still been substantial.
The professors had another reason to be confident that they were onto something important. They found that the performance of stocks whose flow percentages were between the two extremes fell right into line - improving, on average, as the flow became more negative.
Just by sticking with the funds you own or by investing in an index fund that mirrors the market, you can resist the temptation to buy the flavor of the month and dump a short-term loser. That alone would improve returns for the average fund investor, according to the professors.
Mark Hulbert is editor of The Hulbert Financial Digest, a service of MarketWatch
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