|S&P 500 Index*||3.86%||5.31%||5.57%||Large-cap stocks|
|Nasdaq Comp.*||6.17%||10.54%||4.66%||Large-cap tech stocks|
|Russell 1000 Growth||3.44%||5.05%||2.29%||Large-cap growth stocks|
|Russell 1000 Value||5.06%||6.80%||12.72%||Large-cap value stocks|
|Russell 2000 Growth||10.34%||13.02%||8.45%||Small-cap growth stocks|
|Russell 2000 Value||19.40%||21.25%||8.87%||Small-cap value stocks|
|size=”-1″>EAFE||6.86%||10.51%||15.62%||Europe, Australasia & Far East Index|
|Lehman Aggregate||-0.80%||0.03%||3.39%||U.S. Government Bonds|
|Lehman High Yield||1.21%||3.04%||9.50%||High Yield Corporate Bonds|
|Calyon Financial Barclay Index**||4.10%||5.90%||1.31%||Managed Futures|
|size=”-1″>3-month Treasury Bill||1.03%|
|All returns are estimates as of November 30, 2004. *Return numbers do not include dividends. **Returns as of November 29, 2004.< /td>|
Over the past few months, a handful of studies are reporting that the age-old method of selecting active asset managers has resulted in little more than disappointment.
According to Why Do Institutional Plan Sponsors Fire Their Investment Managers?, by Jeffrey Heisler at the Boston University School of Management, plan sponsors tend to favor managers that have historically outpaced their benchmarks, and are quick to sell funds that go through tough patches. Institutional investors typically use advanced quantitative techniques in choosing managers, although the authors believe (based on preliminary findings) that plan sponsors do not add value through this selection process.
The alternative investment crowd echoes this sentiment. According to Institutional Demand for Hedge Funds, by Casey, Quirk, and Acito and the Bank of New York, hedge funds of funds are gaining assets to the detriment of traditional, active-only allocations because the latter approach has failed to consistently generate market-beating returns.