Happy new year. To help us all sober up, here's prelim data on the % of active stock and bond mutual funds that beat their M* category index in 2020. All told, 37% of active funds did so (45% before fees), down slightly from 2019 when 40% succeeded (53% before fees). (1/6)

Does the picture improve any if we look at active fund success rates on a risk-adjusted basis (i.e., Sharpe Ratio)? No. It gets worse, with 31% of active stock and bond funds topping their M* category indexes (38% before fees). (2/6)

When we focus on 2020 specifically, we find the usual range of active-fund success rates by asset class. Active foreign-stock and taxable-bond funds succeeded most often (45% beat rate after fees), active muni-bond funds least often (22% after fees). (3/6)

Here's the same thing but risk-adjusted, i.e. Sharpe Ratio. Again, we find a range of different success rates, but notice that active taxable-bond success rates are markedly lower when we account for excess volatility--just 22% beat their M* category index on this basis. (4/6)

That's mostly glum. Any silver linings? Yes. Outperforming active stock/bond funds beat their M* category index by a wider avg. margin (7.8%) than underperforming funds lagged (5.9%), meaning payoff to beating > penalty for lagging. (5/6). Widest winning spread since '07. (5/6)

Also positive, we saw more repeat and threepeat winners (of, if you prefer, 'persistence') this year than we have in past years. What that means is that if people were chasing perf, they were a little less likely to get whipsawed by performance reversals. That's it for now. (6/6)