May 22, 2014
/PRNewswire/ -- Two researchers from
the United States
have claimed first prize (USD
) for their study on the outperformance of diversified portfolios of index fund portfolios to portfolios of actively managed funds in S&P Dow Jones Indices' third annual SPIVA Awards program. Second prize (USD
) in the SPIVA Awards program went to a team of researchers from universities across the U.S. for their study of explicit indexing.
In its third year, the S&P Dow Jones Indices' SPIVA Awards recognizes excellence in research on the topic of index-related applications, acknowledging researchers from around the world for exploring innovative techniques that enhance the use of indices in the financial markets. Winners are selected by a jury of academics and industry experts.
The winning paper, "A Case of Index Fund Portfolios," published by
of Portfolio Solutions®, LLC and
of Betterment, shows that an all index fund strategy in portfolios is favorable over portfolios of actively managed funds. Two distinct strategies were compared in the report: one that selects low-cost market-tracking index funds exclusively and a second that selects from actively managed funds that attempt to outperform the markets. The study revealed that the probability of outperformance using the simplest index fund portfolio started in the 80th percentile and increased over time. A broader portfolio holding multiple low-cost index funds began at close to the 90th percentile.
Honorable mention (second prize) was awarded to
University of Notre Dame
of Business and Economics,
University of Virginia
of Business, and
University of Texas at Austin
for their research paper entitled, "The Mutual Fund Industry Worldwide: Explicitly and Closet Indexing, Fee, and Performance". The paper examines the relationship between indexing and active management in the mutual fund industry worldwide. The findings suggest that the growth of explicitly indexed funds worldwide improves the efficiency of the asset management industry.
"As the interest in index investing continues to grow, researchers are delving deeper into the active versus passive management debate," says
David M. Blitzer
, Managing Director & Chairman of the Index Committee at S&P Dow Jones Indices. "The winning paper adds a new dimension to this debate by comparing the performance of portfolios of index funds to portfolios of actively managed funds. The second paper studies how the growth in index investing has changed the competitive structure of mutual fund markets in 32 countries."
To view the complete papers, as well as the biographies of each SPIVA Awards winner, please visit:
The SPIVA scorecard reveals quarterly performance data for U.S. equity, international and fixed income mutual funds benchmarked against appropriate asset class indices. More than 3500 actively managed funds are covered in the scorecard. Mutual fund data is derived from CRSP® Survivor-Bias-Free U.S. Mutual Fund Database.
The SPIVA methodology is designed to provide an accurate and objective apples-to-apples comparison of funds' performance versus their appropriate style indices, correcting for factors that have skewed results in previous index-versus-active analyses in the industry. SPIVA scorecards show both asset-weighted and equal-weighted averages, include survivorship bias correction to account for funds that may have merged or been liquidated during the period under study, and show style consistency for each style group across different time horizons.