Several recent studies suggest that equity mutual fund managers achieve superior returns and that considerable persistence in performance exists. This study utilizes a unique data set including returns from all equity mutual funds existing each year. These data enables the author to more precisely examine performance and the extent of survivorship bias. In the aggregate, funds have underperformed benchmark portfolios both after management expenses and even gross of expenses. Survivorship bias appears to be more important than other studies have estimated. Moreover, while considerable performance persistence existed during the 1970s, there was no consistency in fund returns during the 1980s.

Introduction, 197. — The mathematics of bond prices, 199. — Expectations and the term structure of rates, 206. — Altering some of the assumptions, 214. Concluding remarks, 218.

The first half of 1962 witnessed one of the most precipitous decliues in stock market prices in recent history. In terms of the volume of trading and the magnitude of the daily erosion of stock values, one must look back to the crashed of 1929 and 1937 to find parallels. Moreover, the decline was not confined to U. S. stock prices, for a world-wide revaluation of equity values was transmitted from New York. For most professional financial observers of these developments, two aspects of the decline served as the foci of their analysis. There was first the sharp drop in the level of share prices. Second, and perhaps more interesting, there was a marked change in the structure of share prices, i.e. the relationships among equities of different characteristics.

Several recent studies suggest that equity mutual fund managers achieve superior returns and that considerable persistence in performance exists. This study utilizes a unique data set including returns from all equity mutual funds existing each year. These data enable us more precisely to examine performance and the extent of survivorship bias. In the aggregate, funds have underperformed benchmark portfolios both after management expenses and even gross of expenses. Survivorship bias appears to be more important than other studies have estimated. Moreover, while considerable performance persistence existed during the 1970s, there was no consistency in fund returns during the 1980s.

ABSTRACT Several recent studies suggest that equity mutual fund managers achieve superior returns and that considerable persistence in performance exists. This study utilizes a unique data set including returns from all equity mutual funds existing each year. These data enable us more precisely to examine performance and the extent of survivorship bias. In the aggregate, funds have underperformed benchmark portfolios both after management expenses and even gross of expenses. Survivorship bias appears to be more important than other studies have estimated. Moreover, while considerable performance persistence existed during the 1970s, there was no consistency in fund returns during the 1980s.