Join 924 investors who get actionable, evidenced-based wealth management insights delivered directly to their inbox.
Subscribe

When Trading Detracts From Alpha

As explained in my latest book, “The Incredible Shrinking Alpha,” which I co-authored with Andrew Berkin, accompanying the rapid growth of the actively managed mutual fund industry, the average performance of mutual funds has been trending downward over the past few decades.

Teodor Dyakov, Hao Jiang and Marno Verbeek—authors of the study “The Trading Performance of Active Mutual Funds,” which appears in the August 2015 issue of The Journal of Financial and Quantitative Analysis—found that, in using the Carhart four-factor model (beta, size, value and momentum), the annualized abnormal return on the aggregate U.S. equity mutual fund portfolio was 1.7% during the period 1981 through 1990, but declined to 0.86% during the period 1991 through 2000, and to -0.75% during the period 2001 through 2010.

Read the rest of the article on ETF.com.

 

We want to hear from you!

Montgomery

866.676.2701
info@jt-am.com
200 Commerce Street
Suite 300
Montgomery, AL 36104
Map

Dothan

334.793.7001
info@jt-am.com
304 Jamestown Boulevard
Dothan, AL 36301
Map

Receive Our Newsletter

Close