Fleeting Alpha: The Challenge of Consistent Outperformance

Can past winners persist across longer time horizons, market caps and investment styles?

The phrase “past performance is no guarantee of future results” (or some variation thereof) can be found in most funds’ literature, and for good reason: a wealth of studies show a lack of long-term performance persistence among actively managed mutual funds. However, many investors appear to believe that winners persist: past performance and related metrics remain important factors in manager selection.

Read the complete white paper at the link beneath Related Files

Head Office
20 Canada Square
E14 5LH
United Kingdom
Client Services Tel. +44 20 7176 8888
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S&P Global

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  • Is the Low Volatility Anomaly Universal?

    Is the Low Volatility Anomaly Universal?

    White papersThu, 9 May 2019

    Low volatility investing gained immense popularity in the last decade. A proliferation of passive investment vehicles based on this concept attracted more than $70 billion in assets globally as of the end of February 2019.

  • Frequently Asked Questions: S&P ESG Index Series

    Asset Manager NewsThu, 9 May 2019

    Explore how a new measure of Green REITs is bringing transparency to ESG in the Real Estate sector

  • Spoiler Alert: Yes

    White papersThu, 25 Apr 2019

    We recently updated our paper asking Is the Low Volatility Anomaly Universal? The alert reader (and we have no other kind) will have guessed that it is. This is an empirical conclusion, but a theoretical digression might help explain why this is so remarkable.

  • Volatility Test: Defensive Factor Indices versus Actively Managed Funds

    White papersWed, 24 Apr 2019

    Indices based on factors such as low volatility and quality generally have defensive characteristics. These strategies tend to outperform the broad benchmark in down markets, as previous studies have shown.

  • Understanding the S&P Managed Risk 2.0 Indices

    Understanding the S&P Managed Risk 2.0 Indices

    White papersTue, 23 Apr 2019

    S&P Dow Jones Indices, in collaboration with Milliman, has introduced a series of managed risk 2.0 indices that provide core equity strategies with an embedded risk-management feature. The key features of this strategy are the following.

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