From that list, MAPOX: over the 3 years through July 2016, underperformed a simple ETF portfolio of ~29% CORP, 26% SDY, 22% VIG, 8% KBWB, and a few smaller positions, by a cumulative 2.2% and at similar volatility. Where are the "superior risk-adjusted returns"?

Interesting point that foreign entities are leading. Reminds me that the first things I read about the insurance industry's waking up to climate risk were about Swiss Re's perspective on it, if I'm recalling correctly - that was several years ago.

@LLJB
Here's link to Patrick O’Shaughnessy's Commentary page. He's a true student of the markets. And, here is link to the paper he briefed in Chicago Friday, Alpha or Assets?
Market cap index investing certainly making a lot of smart money managers look not so smart these past several years. Everyone would have been wise to simply invested in VFINX or VBINX back in 2009 and forgotten about it.

Value investors, which have all the academic findings to back-up the strategy's premium, have underperformed during this period. Hard to say exactly why. Some argue it's the cheap money that enables investors to chase growth stocks, which would otherwise be "unaffordable," if you will. Others argue since all assets have been "artificially inflated," again because of ZIRP, there has not been much distinction between value and growth ... everything is expensive!
It's interesting to think of the market cap index as the first quant fund. And, in fact, because it is market cap, it's actually a momentum strategy.
Yes, I'm skeptical of many money managers, fund families, and attendant fees. Published misuses of investors by firms like Edward Jones abound. Heck, look at what Wells Fargo did recently! I hate front loads, back loads, 12b-1 fees, and multiple share classes. I have made my dislike of American Funds known for all these reasons. Assets are sticky, so asset gathers abound.
All that said, I remember Peter Lynch once saying that just because an investment wins, does not mean it was for the right reason. And, just because it underperforms, does not mean it was for the wrong reason. I do think there are money managers and shops out there that are really trying to do the right kind of investing for all the right reasons.
I know David's mission for MFO is to help investors identify those very opportunities, especially when they are under-the-radar, like the individuals and firms you mentioned.
@MikeM2
I did not make it over to the Fidelity booth, unfortunately. But will keep eye out for Fidelity's new offering.

Awhile back we decided to use index funds and ETFs in our taxable accounts to minimize year end distribution. Sometime active managed funds paid out sizable distribution even in bad years.

Please not muhlx. The guy calls himself an economist and I got fooled by his tripe for years. He does not even understand the basics of stocks, bonds and interest rates. You have several funds you can bottom fish with.

Chock full day.
More than 650 total attendees at the conference, including more than 500 registered attendees (mostly advisors), more than 80 sponsor attendees, nearly 40 speakers, and more than 30 members of the press. Up somewhat from last year.
Morningstar will soon start giving forward looking "aptitude" medal ratings to exchange traded funds. Will use same 5 Ps methodology as open ended funds. About 300 will be rated along with open ended funds in same category. EtF AUM now at $2.4T. While no plans yet to merge conferences, I believe it is inevitable for June and September Morningstar Chicago conferences to merge.
Lots of discussion of value and momentum strategies today. Fama calls the latter the premier anomaly in investing. AQR's Ronen Israel discussed facts and fiction. Despite that everybody knows benefits of each strategy, AQR believes it is fact that premia in each exist will continue.
One of Morningstar's brigthest, Alex Bryan, moderated a session on largely same topic by Gary Antonacci, Meb Faber, and Wes Gray. All disciples. Wes, probably the hardest core "believer" in pure value. But, data backs-up momentum as well. Why do these strategies persist? Because they are so utterly painful to stick with. Gary, however, uses an "absolute momentum" overlay (based on 12 month SP500 total return vs risk free) to mitigate drawdown, which he argues is more steady than simple moving average methods.
Met with John Ameriks, head of Vanguard's Quantitative Equity Group. He believes that a big reason "quants are winning" is that they provide a rules-based methodologies so investors better know what to expect. Unlike, say, the sometimes surprising behavior of active investors, like Fairholme's Bruce Berkowitz. John's group has 25 analysts and has been in existence for 25 years. At $30B in AUM, lots of responsibility here.
In a panel on "best ideas," Rich Bernstein, John West of Research Affiliates and Mark Yusko of Morgan Creek Capital Management seemed mostly conflicted. Bernstein believes cyclical equities and perhaps equities as a whole, will continue their bullish run. Expects excess returns the next two years for industrial's. But, the catastrophe will be bonds. Yusko, the most vocal, believes US stocks will crash in next year or so. Doomed based on valuations and demographics. He thinks that the only thing investors do well is invest in the last thing that worked. So, investing in index funds going forward will be catastrophic. While he dropped names like Seth Klarman of Baupost, Yusko's positions seemed to me ... hmm, what's a good word ... malarkey. West was most tempered of the trio, touting Research Affiliates benefits of all asset diversification, which always takes the 10 year view.
Took several other interviews, including a couple EtF managers that focus on EM consumers and Millennial consumers. Can you believe that? The PM at Iowa's Prinicpal, named Paul Kim, formally at PIMCO, seemed pretty impressive to me. More to come.
Looking forward to morning talk by Patrick O’Shaughnessy, entitled Alpha or Assets. As well as interview with Vanguard's Head of Equity EtFs and walking the exhibitor booths.
c

Shiller's strategies seem to be working well and I'm actually surprised because most of these new funds by the quant/trend followers/13F filings/s&p under it's 200 day moving average guys seem to be under performing more than I expected. Shiller's indexes almost seem like a free lunch at this point.
QVAL, QMOM, GVAL, etc have just been tanking over the last two years, but then I'm reading articles from these guys that momentum and value strategies can under perform for up to 10 years, sometimes longer!?!?! And ALFA just got slaughtered when it went market neutral. If it's always best to buy when a fund's outlook seems darkest, then I'm loading up on MUHLX.

Very easy -- there are lots of ways to come up with a "better" (less volatile, less risky, lower fees -- name your wish) plan when you know in advance what you want the answer to be. I did computational modelling professionally for years and I can assure you that taking a set of choices, locking them up in a safe for a year and then looking at the results is entirely different from combing through data from a year ago and choosing a data set that would have done SO MUCH better with "your" "alternative/better" choices from a year ago. It's easy to "predict" the present from the past, another story to predict the future from the present (or the past, for that matter).

Over the 3 years through Jul 2016, JNVSX could have been substituted by a fixed portfolio of ETFs (~22% FXR, 19% TDIV, 17% SPHQ, 11% XRT, 9% IHF, 8% VIG, and a couple of smaller positions) that had a ~4.4% higher cumulative return at a comparable volatility. See goo.gl/2Z3V5Q

Another way to substitute DFSVX, published a year earlier than this article -- see goo.gl/7RzdsC
For the 5 years through Aug 2016, DFSVX could also have been substituted by a fixed portfolio of ETFs (~41% IWN, 14% RZV, 10% PSCT, 9% XRT, 8% PRN, 8% KBE, 6% PXI, and a couple smaller positions) with a similar cumulative return and lower standard deviation.

Seems like the to time to be "steering" investors towards indexing, passive, and ultra diversification is when markets have been through a reasonable decline. Not at a time when:
1) the largest stock market ( U.S.) in the world is richly valued and forward return expectations as measured by many metrics are low
2) many world bond yields are sparse
3) the average investor within a few years of retirement age, who are deficient in retirement asset accumulation ( a large percentage ), will need some sort of high alpha, active / strategic & capital preservation portfolios in order to "catch up" and maintain a reasonable retirement lifestyle.
Don't hear anyone pushing for an overweight in emerging market / European bourses either which would seem to be logical and inverse to point #1.

Hi Davidrmoran,
Your desire to learn more on what quickly becomes a complex mathematically dominated topic is highly commendable and deserves respect. Good luck in your exploration. I abandoned my interest a few years ago because of my own persistency shortfalls.
The subject has been studied for decades from an investment enhancing perspective. It fundamentally explores the persistency of momentum in the marketplace for various timeframes: intraday, daily, monthly, quarterly, and on an annual basis.
The research seemed to demonstrate that on any time scale markets were never completely random; some momentum, some local dependence existed for rapidly disappearing time periods. A perfectly independent event would have a zero correlation. The numerous studies always showed values slightly departing from that zero. These numbers never seemed to depart by very much, but the researchers tested them and concluded they were not random noise.
These studies are called autocorrelations. They are linear regression analyses with some period time lag used in the self-comparison. The findings vary over various timeframes. They were dynamic and not constant. That's a warning signal.
I've not been impressed that these results generate actionable investment opportunities. If they did, we would all know about them.
I hope this helps. Note that I am not an expert in this field.
Best Wishes.

Hi Bob, thanks for the comments. I completely agree with you that after several fat cows one should expect several lean ones. But mean regression is something entirely different.
What you (and I, and most everyone else) are assuming is that there's some relationship between past and future (lean follows fat). Mean regression assumes the complete opposite - that each year is completely independent and random.
Now you don't believe that next year is disconnected from this year or the past few. Neither do I. So mean regression is not applicable. Even if it were, it never predicts bad years, just that if this year was good, next year will, more likely than not, be less good.
With respect to bonds ... If one buys a bond now, even a premium bond, whether the real rate of return turns out to be positive or not depends on rate of inflation until maturity. It doesn't matter whether nominal rates go up 1% next year, that's not going to affect the coupons, the return of principal, or the real return. (Except arguably by inference that inflation may rise in tandem with the rise in nominal rates - see Fisher hypothesis.)
Inflation is still hovering below 1%. (0.8% Y/Y as of July - see graph here). Target rate is 2%. If we approach that without overshooting (admittedly a significant assumption), then 10 year bonds, yielding 1.60% nominal as of 9/2/16 should generate a small but positive real return. It doesn't matter what happens to market rates; what matters once the investment is made is the rate of inflation.
Still, there's a difference between this barely positive real return and the historical real return of 1.6%. So I agree that one needs to plan for lower returns than the historical average for both bonds and stocks. Though it remains important to be clear on the reasons for that qualitative projection, in order to make good quantitative guesses.
I think your 4-5% (nominal) is a good, conservative figure for planning purposes. IMHO that puts real return somewhere around 2%.

Hi, msf. Given the fact that we have had out-sized returns for the S&P 500 the last 5 years (average of about 15.5%), with some sectors much, much higher, it is natural to expect that we could well have some lean years if longer-term average numbers are to be trusted. The 10-year S&P 500 average return is only 7.4%, a long way from the outrageously long historical number, which some retirement web sites still allow using. So if we are to have future average returns of around 7%, there will need to be some very poor years to bring the market average down to that level. Or we could have one or two awful years. Perhaps the need to keep words to a minimum meant a deeper or clearer explanation was left out. I hope this clears the water.
As for bond yields, I think the fact that we are in totally uncharted waters with interest rates might result in strongly negative returns for bonds. I am not aware that so many countries have ever suckered poor souls to buy bonds with negative yields. And while U.S. yields are higher than 0%, many bond prices are so high as to suggest owners could have negative returns if rates move up by just 1%.
I am not suggesting returns for stocks or bonds is about to be hideous, but I do believe that using an assumed average return of more than 4-5% for retirement projections is unwise.

Presuming that you have to use Fido funds, why not FISMX? 5* at M*. It's separated a bit from its index on M*, and the manager has been there 2 yr during part of the overperformance. I'm trapped in Fido for my 403B , so I don't ignore their 5* funds. Over years, small cap usually outperforms, and I'm assuming you want international exposure.

I am still holding ARTMX in a taxable account and it too has not performed well in the past 3-5 years. To add insult to injury, from 2013 to 2015 it has distributed LTCG's of 8% to 16% of NAV and with an ER of 1.19%.
I will cut the cord this year before its November distribution and put the proceeds in VIMAX and call it a day. I never had any business of tilting to Mid-Cap Growth in the first place.
Mona

What do any of these (except for DSENX / DSEEX) have that PRBLX does not?

Brings to mind the discussion a couple of years back about MFO's crowning of SMVLX as a "great owl" before it had shown what it does in a market unfavorable for its schtick.
PRBLX of course balances riskier sectors (tech, industrials) with defensives (staples, utes) so it doesn't get killed in down-markets.

I own BLVAX. I bought it because I wanted a low volatility fund that was actively managed, rather than a passive low volatility ETF index, as I thought it was possible low volatility stocks as a whole could be getting expensive. BLVAX pays attention to valuation, so it might not go down as much if low volatility stocks are sold off after the prices have been bid up the last few years.
It looks like BMO has a couple different websites with little information about their US based mutual funds. You may have come across this, but in case you did not, here is a link to their BLVAX page where you can get the fact sheet and quarterly commentaries, as well as links to their other funds.
https://www.bmo.com/gam/funds/g/us/equity/bmo-low-volatility-equity-fund

Robert Cochran's column, in its use of mean reversion and inflation/real return, has left me befuddled.
"Reversion to the mean" simply expresses the tendency of next year's returns to be closer to the long term mean than the current year's returns are.
Underlying mean reversion is the assumption that each year's performance is independent of the previous one's. That is, mean reversion applies to random variables.
Assuming a long term mean of 9-10% for stocks (as stated in the opening sentence), and assuming 2016's return comes out about 12% (extrapolating from 8% YTD), mean reversion suggests that it is more likely next year's returns will be lower (closer to the mean of 10%) than higher (further from the mean). That's all.
Many prognosticators suggest that stock returns going forward will average around 4-5% (with an assortment of solid reasons backing this up). Mean reversion would seem to cut against this, as it implies, quite literally, reversion (coming closer) to the mean of 10%. IMHO this just shows that mean reversion doesn't apply here - yearly returns are not random variables.
Regarding real returns and inflation - if inflation is assumed to run at 2-3% (it isn't now, but it is expected to increase), then SS should also increase in nominal terms 2-3%, not the 1% projected. In real terms (as measured by CPI-W), SS payments do not decrease.
The 5% average figure for bonds over the past 15 years suggests that "bonds" means 10 year bonds. See here (geometric average over past ten years was 4.71% for 10 year bonds). That same source also shows an average near 5% (4.96%) for the past 85 years. Arithmetic averages are similar, though slightly higher (a small fraction above 5%).
So it seems fair to use last century's (100 year) average real returns for 10 year bonds as "normal" returns. That average real return was around 1.6% in the US:

If you prefer, 1.7% real return for 1900-2002 (based on Shiller data)
So I don't understand what the big deal is about a 0-2% real return going forward. That sounds about normal.
If anything, achieving typical real returns with lower nominal returns and lower inflation is beneficial to fixed income investors. That's because taxes are based on nominal returns, not real returns. So achieving the same real returns and paying less in taxes (lower nominal returns) seems like a plus.
In the broad picture, I agree with the expectation that both stock and bond returns will be lower going forward. But not as explained. Stocks may violate mean reversion (i.e. overshoot the mean on the low side, rather than simply dropping closer to the mean). Parallel increases in prices and rates would keep bond real returns closer to zero.

Umm ... From my grad school years I recall having to read a hellova lot over short periods. Some days I never left the dorm room or dressed beyond a pair of underwear.
So, while not sure about 500 pages a day, I do know you can consume a voracious number of pages if you really set your mind to it and otherwise exclude having a life.
:)