What Happens To Bad Funds When They Die?

A new report from Rockford, Ill.-based financial advisorSavant Capital Managementand advocate of passive investment strategiesZero Alpha GroupSavant是其中的一员，他试图对广为人知的平均数的有效性提出质疑，这些平均数夸大了积极管理的共同基金的业绩，因为这些死基金很容易被遗忘。报告称，这种幸存者偏见提高了全球42个类别中41个类别的表观回报率Morningstardatabase. It also shows that mutual funds in all nine of Morningstar's famous style boxes, on averaged, lagged behind their respective indices.

Survivor bias occurs when data providers – and mutual fund companies – strike no-longer-extant mutual funds, which generally have pretty terrible track records, from their cumulative data. On the micro-level, when a fund company, for instance, merges one fund into another, it no longer has to report the lesser of the two historical performances, only that of the succeeding fund. On the macro level, it means that the average return for mutual funds taken collectively tends to be higher, according to the Savant report by an average of 160 basis points per year, than it is in reality, since the bad funds have gone away.

前一个问题，即管理者本质上隐藏着糟糕的业绩，显然值得指责。但后者呢？Are "inflated" mutual fund average performance numbers a problem? That's much less clear.

Pat Beaird, founder of ZAG member firm必和必拓资本管理, argues that the report "really shows that indexes win hands-down" and the "active managers don't have a leg to stand on." Fair enough, but didn't we already know that?Standard & Poor'shas made something of a quarterly rite of showing that, when adjusted for survivorship bias, actively-managed equity funds of all kinds, on average, regularly get creamed by the corresponding S&P indices. "The evidence," report author and Savant managing directorBrent Brodeskisays, "is very damning that active management doesn't work regardless of the category."

A fair assessment, as the S&P data has shown again and again, but one that, in a sense, is missing the trees for the forest. On an average basis, as with all things, the lesser performers drag down the apparent performance of the group. But that doesn't necessarily mean that there aren't good managers out there, just that a lot of investors – though not, say,Bill Miller's – would be better off in an index fund.

Indeed, the survivor bias that the report demonstrates in Morningstar data, far from being "a kind of grade inflation for mutual funds" that "make the remaining managers look better," as布罗德斯基事实上，这种说法会让那些经理人看起来比同类平均水平更糟糕。例如，如果如报告所示，大盘股混合型基金在一年期内的回报率比晨星报告的低190个基点，那么在幸存者偏差调整后的较低数字和晨星标准数字之间的区间内的基金难道不像指数型投资支持者那样抱怨吗？布罗德斯基承认，由于幸存者往往是更好的基金，这是正确的。

"Fund that survive actually end up looking worse compared to peer averages," he said. "[Investors] are looking at a subset of above-average funds to start with, and in fact, the surviving funds are not given a fair deal when compared to their peer averages."

基本上，ZAG成员的问题是，如果投资者布罗德斯基says "very few" know about survivorship bias, are using category averages to decide how to invest their money, and use it to pick active management over passive management. That argument is specious, at best, because even without survivor bias, category averages tend to lag indices.

In many cases, survivor bias is just extending the indices' lead. The report also provided no evidence that investors actually use survivor-biased category averages to pick active management over passive management. "The way most people use category averages is not to demonstrate the theoretical superiority of indexing," posits Morningstar managing director唐·菲利普斯. "They use it to help compare their fund to other funds."

菲利普斯对调整幸存者偏见是衡量绩效的合法方法这一论点没有异议。事实上，他说晨星计划在今年晚些时候公布幸存者偏差调整后的类别平均数，同时公布已经存在的平均数。他指出，该报告的作者也同意该报告的调查结果“与晨星数据的准确性或我们计算的基金总回报率无关”

那么，该报告第一句话中概述的阴谋论是什么呢：“共同基金行业系统地、显著地高估基金业绩，错误地让积极管理的共同基金偶尔看起来与指数竞争。”晨星显然不是阴谋的幕后黑手。个别基金公司也不例外，它们受到这些数字伤害的可能性和受到帮助的可能性一样大。

"It's more about the fund industry in general hanging their hat on a database that shows in some categories that managers appear to beat the market,"布罗德斯基说。

When asked about this,克里斯Wloszczyna, a spokesman for the industry associationInvestment Company Institute，他开玩笑说，“我不认为我们能够对晨星的决策施加太大的控制。”归根结底，他认为“股东受益于”生存能力，如果不是生存偏见，“因为他们所在的基金可能会有更好的表现。”

Survivor bias in the averages is real. The question is,有关系吗？