Mutual Fund Landscape 2020 - A Study of US-Domiciled Mutual Fund Performance
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Mutual Fund Landscape 2020
A Study of US-Domiciled Mutual Fund Performance
Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission.
MKT8186-0420
US-Domiciled Mutual Funds, 2019
Number of equity and fixed income funds as of December 31, 2019
Fixed Income International Equities US Equities 4,439 TOTAL
1,435
Fixed Income
1,075
International
Equities
1,929
US Equities
Number of US-domiciled funds in the representative industry sample as of December 31, 2019. International equities include non-US developed and emerging markets funds. US-domiciled, USD-denominated, non-Dimensional open-end
mutual fund data is from Morningstar. See Data Appendix for more information.
MKT8186-0420
Assets Under Management
US-Domiciled Mutual Funds, 2000–2019
In USD (billions)
Fixed Income International Equities US Equities $8,706 TOTAL
9,000
$2,573
Fixed Income
$1,831
6,000
International
Equities
$4,303
US Equities
3,000
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Total value of assets in the representative fund samples over the past 20 years. Numbers may not sum due to rounding. US-domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. See Data Appendix
for more information.
MKT8186-0420
Few Equity Funds
Have Survived and Outperformed
US-domiciled equity fund performance periods ending December 31, 2019
3,088 Beginning
10 YEARS 63%
21%
Survivors
Winners
2,922 Beginning
15 YEARS 52%
20%
Survivors
Winners
2,758 Beginning
20 YEARS 41%
22%
Survivors
Winners
The sample includes funds at the beginning of the 10-, 15-, and 20-year periods ending December 31, 2019. Survivors are funds that had returns for every month in the sample period. Winners are funds that survived and outperformed their
benchmark over the period. US-domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. Past performance is no guarantee of future results. See Data Appendix for more information.
MKT8186-0420
Few Fixed Income Funds
Have Survived and Outperformed
US-domiciled fixed income fund performance periods ending December 31, 2019
1,462 Beginning
10 YEARS 71%
31%
Survivors
Winners
1,658 Beginning
15 YEARS 55%
16%
Survivors
Winners
1,843 Beginning
20 YEARS 42%
10%
Survivors
Winners
The sample includes funds at the beginning of the 10-, 15-, and 20-year periods ending December 31, 2019. Survivors are funds that had returns for every month in the sample period. Winners are funds that survived and outperformed their
benchmark over the period. US-domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. Past performance is no guarantee of future results. See Data Appendix for more information.
MKT8186-0420Past Performance Is Not Enough
to Predict Future Results
Percentage of US-domiciled equity funds that were top-quartile performers in consecutive five-year periods
EQUITY FUNDS
2005–2009 23%
TOP
2006–2010 23%
25%
2007–2011 19%
2008–2012 16%
2009–2013 14%
2010–2014 19%
2011–2015 22%
2012–2016 20%
2013–2017 23%
2014–2018 25%
2015–2019 26%
PREVIOUS FOLLOWING 21% 100%
5 YEARS 5 YEARS AVERAGE
At the end of each year, funds are sorted within their category based on their five-year total return. The exhibit shows the percentage of funds in the top quartile of five-year performance that ranked in the top quartile of performance over the
following five years. Example (2015–2019): For equity funds ranked in the top quartile of performance in their category in the previous period (2010–2014), only 26% also ranked in the top quartile in the subsequent period (2015–2019). US-
domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. Past performance is no guarantee of future results. See Data Appendix for more information.
MKT8186-0420Past Performance Is Not Enough
to Predict Future Results
Percentage of US-domiciled fixed income funds that were top-quartile performers in consecutive five-year periods
FIXED INCOME FUNDS
2005–2009 28%
TOP
2006–2010 26%
25%
2007–2011 27%
2008–2012 35%
2009–2013 6%
2010–2014 25%
2011–2015 24%
2012–2016 25%
2013–2017 40%
2014–2018 38%
2015–2019 43%
PREVIOUS FOLLOWING 29% 100%
5 YEARS 5 YEARS AVERAGE
At the end of each year, funds are sorted within their category based on their five-year total return. The exhibit shows the percentage of funds in the top quartile of five-year performance that ranked in the top quartile of performance over the
following five years. Example (2015–2019): For fixed income funds ranked in the top quartile of performance in their category in the previous period (2010–2014), only 43% also ranked in the top quartile in the subsequent period (2015–2019).
US-domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. Past performance is no guarantee of future results. See Data Appendix for more information.
MKT8186-0420High Costs Can Reduce Performance
US-domiciled equity fund winners and losers based on expense ratios (%)
Winners Losers
10 YEARS 15 YEARS 20 YEARS
38
30 31 29
25 20 25 20
18
W 11 8 10
L
69 62
70 75 75 71
80 82 80
89 92 90
Median
Expense
Ratio (%) 0.77 1.02 1.21 1.50 0.82 1.08 1.29 1.65 0.85 1.13 1.36 1.83
Low Med. Med. High Low Med. Med. High Low Med. Med. High
Low High Low High Low High
The sample includes funds at the beginning of the 10-, 15-, and 20-year periods ending December 31, 2019. Funds are sorted into quartiles within their category based on average expense ratio during the sample period. The chart shows the
percentage of winner and loser funds by expense ratio quartile for each period. Winners are funds that survived and outperformed their benchmark over the period. Losers are funds that either did not survive or did not outperform their
respective benchmark. US-domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. Past performance is no guarantee of future results. See Data Appendix for more information.
MKT8186-0420High Costs Can Reduce Performance
US-domiciled fixed income fund winners and losers based on expense ratios (%)
Winners Losers
10 YEARS 15 YEARS 20 YEARS
38 34 31
22 21 20 15 11 15 14
W 9 6
L
62 66 69
78 79 80 85 89 85 86
91 94
Median
Expense
Ratio (%) 0.48 0.64 0.79 0.97 0.50 0.67 0.82 1.01 0.54 0.73 0.90 1.16
Low Med. Med. High Low Med. Med. High Low Med. Med. High
Low High Low High Low High
The sample includes funds at the beginning of the 10-, 15-, and 20-year periods ending December 31, 2019. Funds are sorted into quartiles within their category based on average expense ratio during the sample period. The chart shows the
percentage of winner and loser funds by expense ratio quartile for each period. Winners are funds that survived and outperformed their benchmark over the period. Losers are funds that either did not survive or did not outperform their
respective benchmark. US-domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. Past performance is no guarantee of future results. See Data Appendix for more information.
MKT8186-0420High Trading Costs Can Also Impact Returns
US-domiciled equity fund winners and losers based on turnover (%)
Winners Losers
10 YEARS 15 YEARS 20 YEARS
44
30 32 23
23 23
18 15 16 18
11 12
W
L
56
70 68
77 82 77 77 82
85 84 88
89
Median
Turnover
(%) 21.6 45.3 70.8 118.3 25.6 52.7 78.3 127.4 28.7 57.0 83.9 141.1
Low Med. Med. High Low Med. Med. High Low Med. Med. High
Low High Low High Low High
The sample includes equity funds at the beginning of the 10-, 15-, and 20-year periods ending December 31, 2019. Funds are sorted into quartiles within their category based on average turnover during the sample period. The chart shows the
percentage of winner and loser funds by turnover quartile for each period. Winners are funds that survived and outperformed their benchmark over the period. Losers are funds that either did not survive or did not outperform their respective
benchmark. US-domiciled, USD-denominated, non-Dimensional open-end mutual fund data is from Morningstar. Past performance is no guarantee of future results. See Data Appendix for more information.
MKT8186-0420Report Summary
The US-domiciled mutual fund landscape
Findings
• Outperforming funds were in the minority.
• Strong track records failed to persist.
• High costs and excessive turnover may have contributed to underperformance.
Lessons
• Markets effectively aggregate investor knowledge and expectations into prices that are reliable.
• Managers attempting to outguess market prices may incur high costs that raise the barrier to
outperforming an index.
• Successful fund investing involves more than picking a top-performing fund from the past.
• Consider a fund’s investment philosophy, robustness in portfolio design, and attention to costs,
among other factors.
Past performance is no guarantee of future results.
MKT8186-0420Data Appendix
US-domiciled, USD-denominated, non-Dimensional open-end mutual fund Each fund is evaluated relative to its respective primary prospectus
data is from Morningstar. benchmark as of the end of the evaluation period. Surviving funds are those
with return observations for every month of the evaluation period. Winner
Dimensional fund data provided by the fund accountant. Funds that are funds are those that survived and whose cumulative net return over the
currently and were previously restricted to LWI Financial Inc. clients are period exceeded that of their respective primary prospectus benchmark.
excluded due to different historical fee structures. Dimensional subadvised Loser funds are funds that did not survive the period or whose cumulative
funds are also excluded. net return did not exceed that of their respective primary prospectus
benchmark. Where the full series of primary prospectus benchmark returns
Equity fund sample includes the Morningstar historical categories:
is unavailable, non-Dimensional funds are instead evaluated relative to the
Diversified Emerging Markets, Europe Stock, Foreign Large Blend, Foreign
Morningstar category index assigned to the fund’s category at the start of
Large Growth, Foreign Large Value, Foreign Small/Mid Blend, Foreign
the evaluation period.
Small/Mid Growth, Foreign Small/Mid Value, Global Real Estate, Japan
Stock, Large Blend, Large Growth, Large Value, Mid-Cap Blend, Mid-Cap Index data provided by Bloomberg Barclays, MSCI, Russell, FTSE Fixed
Growth, Mid-Cap Value, Miscellaneous Region, Pacific/Asia ex-Japan Stock, Income LLC, and S&P Dow Jones Indices LLC. Bloomberg Barclays data
Real Estate, Small Blend, Small Growth, Small Value, World Large Stock, provided by Bloomberg. MSCI data © MSCI 2020, all rights reserved. Frank
and World Small/Mid Stock. Russell Company is the source and owner of the trademarks, service marks,
and copyrights related to the Russell Indexes. FTSE fixed income indices ©
Fixed income fund sample includes the Morningstar historical categories:
2020 FTSE Fixed Income LLC. All rights reserved. S&P data © 2020 S&P
Corporate Bond, High Yield Bond, Inflation-Protected Bond, Intermediate
Dow Jones Indices LLC, a division of S&P Global. All rights reserved.
Core Bond, Intermediate Core-Plus Bond, Intermediate Government, Long
Government, Muni California Intermediate, Muni California Long, Muni Indices are not available for direct investment. Their performance does not
Massachusetts, Muni Minnesota, Muni National Intermediate, Muni reflect the expenses associated with management of an actual portfolio.
National Long, Muni National Short, Muni New Jersey, Muni New York
Intermediate, Muni New York Long, Muni Ohio, Muni Pennsylvania, Muni Dimensional Fund Advisors LP is an investment advisor registered with
Single State Intermediate, Muni Single State Long, Muni Single State Short, the Securities and Exchange Commission.
Muni Target Maturity, Short Government, Short-Term Bond, Target
Maturity, Ultrashort Bond, World Bond, and World Bond-USD Hedged. Mutual fund investment values will fluctuate, and shares, when
redeemed, may be worth more or less than original cost. Diversification
Additional information regarding Morningstar’s historical categories is neither assures a profit nor guarantees against a loss in a declining
available from Dimensional upon request. market. There is no guarantee investment strategies will be successful.
Past performance is no guarantee of future results.
Index funds and funds of funds are excluded from the industry sample.
Load-waived funds are excluded from both the industry and Dimensional
samples. Net assets for funds with multiple share classes or feeder funds
are a sum of the individual share class total net assets. The return, expense
ratio, and turnover for funds with multiple share classes are taken as the
asset-weighted average of the individual share class observations. Fund
share classes are aggregated at the strategy level using Morningstar
FundID. In certain scenarios, CRSP identifiers may be used to aggregate
Dimensional funds.
MKT8186-0320Data Appendix
US-domiciled open-end mutual fund data is from Morningstar. Each fund is evaluated relative to its respective primary prospectus
benchmark as of the end of the evaluation period. Surviving funds are those
Equity fund sample includes the Morningstar historical categories: with return observations for every month of the sample period. Winner
Diversified Emerging Markets, Europe Stock, Foreign Large Blend, Foreign funds are those that survived and whose cumulative net return over the
Large Growth, Foreign Large Value, Foreign Small/Mid Blend, Foreign period exceeded that of their respective primary prospectus benchmark.
Small/Mid Growth, Foreign Small/Mid Value, Global Real Estate, Japan Loser funds are funds that did not survive the period or whose cumulative
Stock, Large Blend, Large Growth, Large Value, Mid-Cap Blend, Mid-Cap net return did not exceed that of their respective primary prospectus
Growth, Mid-Cap Value, Miscellaneous Region, Pacific/Asia ex-Japan Stock, benchmark. Where the full series of primary prospectus benchmark returns
Real Estate, Small Blend, Small Growth, Small Value, World Large Stock, is unavailable, funds are instead evaluated relative to the Morningstar
and World Small/Mid Stock. category index assigned to the fund’s category at the start of the
evaluation period.
Fixed income fund sample includes the Morningstar historical categories:
Corporate Bond, High Yield Bond, Inflation-Protected Bond, Intermediate Index data provided by Bloomberg Barclays, MSCI, Russell, FTSE Fixed
Government, Intermediate-Term Bond, Long Government, Muni California Income LLC, and S&P Dow Jones Indices LLC. Bloomberg Barclays data
Intermediate, Muni California Long, Muni Massachusetts, Muni Minnesota, provided by Bloomberg. MSCI data © MSCI 2020, all rights reserved. Frank
Muni National Intermediate, Muni National Long, Muni National Short, Russell Company is the source and owner of the trademarks, service marks,
Muni New Jersey, Muni New York Intermediate, Muni New York Long, Muni and copyrights related to the Russell Indexes. FTSE fixed income indices ©
Ohio, Muni Pennsylvania, Muni Single State Intermediate, Muni Single State 2020 FTSE Fixed Income LLC. All rights reserved. S&P data © 2020 S&P
Long, Muni Single State Short, Short Government, Short-Term Bond, Dow Jones Indices LLC, a division of S&P Global. All rights reserved.
Ultrashort Bond, and World Bond.
Indices are not available for direct investment. Their performance does not
Additional information regarding Morningstar's historical categories is reflect the expenses associated with management of an actual portfolio.
available from Dimensional upon request.
Dimensional Fund Advisors LP is an investment advisor registered with
Index funds and funds of funds are excluded from the industry sample. Net the Securities and Exchange Commission.
assets for funds with multiple share classes or feeder funds are a sum of the
individual share class total net assets. The return, expense ratio, and Mutual fund investment values will fluctuate, and shares, when
turnover for funds with multiple share classes are taken as the asset- redeemed, may be worth more or less than original cost. Diversification
weighted average of the individual share class observations. Fund share neither assures a profit nor guarantees against a loss in a declining
classes are aggregated at the strategy level using Morningstar FundID. market. There is no guarantee investment strategies will be successful.
Past performance is no guarantee of future results.
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