Yesterday’s post explained the difference between time-weighted returns and dollar-weighted returns. If you read between the lines you’ll have noticed that negative excess returns of dollar-weighted returns over time-weighted returns would indicate a proclivity to performance chase by investors. Some interesting data comes from Russel Kinnel who examined both the time-weighted returns and dollar-weighted returns of various mutual fund categories (US data), through April 2005:
|
|
Dollar-Weighted 10 Year Return |
Official 10-Year Return |
Difference |
|
Large Value |
9.60% |
10.02% |
-0.40% |
|
Large Blend |
7.46% |
9.05% |
-1.59% |
|
Large Growth |
4.35% |
7.76% |
-3.41% |
|
Mid Value |
10.43% |
12.16% |
-1.73% |
|
Mid Blend |
10.59% |
11.41% |
-0.82% |
|
Mid Growth |
6.32% |
8.84% |
-2.53% |
|
Small Value |
11.64% |
13.63% |
-2.00% |
|
Small Blend |
8.95% |
11.32% |
-2.37% |
|
Small Growth |
5.35% |
8.41% |
-3.06% |
Source: Russel Kinnel from Morningstar, Inc. as cited in “The Fundamental Index” by Robert Arnott.
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