Approximately 4 in 7 common stocks since 1926 (per the CRSP database) show lower lifetime returns than one-month Treasuries. The top 4% of listed companies explain the net gain for the entire U.S. stock market since 1926, emphasizing the impact of positive skewness in individual stock returns. Poorly-diversified active strategies often underperform market averages due to these factors.
Classic article by Hendrik Bessembinder
Over the past 30 years, the proportion of U.S. equity mutual funds outperforming the SPY ETF declines with longer measurement horizons. Some funds with positive monthly alpha show negative long-horizon abnormal returns. Positive skewness in fund returns, increasing with horizon, is observed, revealing limitations of short-horizon metrics like alpha for long-horizon investors. The study estimates a total wealth loss of $1.02 trillion for mutual fund investors over the 30-year period, considering beta-adjusted SPY returns as opportunity costs.
Thanks again Professor Bessembinder