Fooled by Compounding JPM 2012.38.2

Fooled by Compounding
R. DaviD McLean
The Journal of Portfolio Management 2012.38.2:108-116. Downloaded from www.iijournals.com by SUSAN EKLOW on 03/14/12. It is illegal to make unauthorized copies of this article, forward to an unauthorized user or to post electronically without Publisher permission.
R. DaviD McL ean

is an associate professor of finance at the University of Alberta in Edmonton, AB, Canada, and a visiting assistant professor of finance at MIT in Cambridge, MA. rdmclean@MIT.edu
ompounding can make things appear to be larger than they really are. This effect can arise when returns resulting from an event are compounded over a long holding period. In this setting it is not uncommon for authors to describe returns resulting from compounding as a return caused by the individual event. This mistake results in exaggerating the significance of the event. In this article, I review several examples of this common mistake, which are found in a popular book on rare events, newspaper articles, investment advisors research reports, and finance journal articles. I also describe alternative methods of return measurement that are not affected by compounding and show that these methods can lead to different inferences than measures that include compounding. For an understanding of how compounding can distort things, consider the following example. A portfolio normally yields a return of 1% per month. In one month the portfolio has an abnormal event, which yields a monthly return that is greater than 1%. A benchmark portfolio has a return of 1% in every month. An analyst wants to communicate the significance of the event. To do so she calculates the buy-and-hold return of the portfolio and compares it to that of the benchmark over holding periods of 1, 5, 10, and 50 years. The event occurs in month t, and the
returns are measured beginning in month t through the subsequent holding periods. Over the 1-year holding period, the portfolio has a buy-and-hold return of 13.80%, while the benchmark has a buy-and hold return of 12.68%. The analyst reports an abnormal buyand-hold return of 13.80% 12.68% = 1.12%. The analyst repeats this exercise and computes abnormal buy-and hold-returns of 1.80%, 3.27%, and 387.71% over the 5-, 10-, and 50year holding periods, respectively. Hence, for the same event, we have four different abnormal returns, which range from 1.80% to 387.71%. Which abnormal return accurately describes the magnitude of the return in the event month? The point that I strive to make in this article is that none of the previous returns accurately describes the abnormal return in the event month. In the preceding example, the return in the event month is 2%, so the abnormal return in the event month is simply 2% 1% = 1%. If the analyst wants to communicate the size of the event, she can simply state that the return in the event month is 1% larger than the returns in the other months. The problem with the buy-and-hold returns is that they ref lect both the event and the compounding, and therefore do not reveal how important the event was. Compounding in this setting multiplies the abnormal return in the event month by the compound factor from the other months. To see this, let E equal the return in the event
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month, N equal the return in the normal months, and T equal the number of periods. The buy-and-hold abnormal return is (1 + E ) (1 + N )T (1 + N ) (1 + N )T = [(1 + E ) (1 + N )] (1 + N )T = ( E N ) (1 + N )T
In the preceding example, E equals 2% and N equals 1%. Lets assume a five-year (60-month) holding period. Plugging these values into the preceding equation yields (1 + 0.02) (1 + 0.01)59 (1 + 0.01) (1 + 0.01)59 = [(1 + 0.02) (1 + 0.01)] (1 + 0.01)59 8 = 0.01 1.7987 1.80% This shows that the five-year abnormal buy-andhold return is the product of the abnormal return in the event month (2% 1% = 1%) multiplied by a compound factor of 1.7987. Hence, the abnormal buy-andhold return contains both the abnormal return and the compounding of that return over the holding period. In this example, the abnormal return in the event month is only 1%, but it grows to 1.80% over the five-year holding period. The 1% comes directly from the event, and the other 0.80% comes from compounding. The longer the holding period, the more the abnormal buy-and-hold return ref lects compounding, and the less it ref lects the event. If we use the 50-year holding period, then the abnormal buy-and-hold return is 387.71%, as follows: (1 + 0.02) (1 + 0.01)599 (1 + 0.01) (1 + 0.01)599 = [(1 + 0.02) (1 + 0.01)] (1 + 0.01)599 = 0.01 387.71 387.71% The return in the event month is still only 1%, yet the compounding factor is 387.71. Thus, in this example, 386.71% of abnormal return comes from compounding, which is virtually the entire abnormal buy-and-hold return. If we want to describe the size of a return resulting from an event, we should not compound it, especially over a long holding period. This is because compounding inf lates the abnormal return by the compound factor for
that holding period, and longer holding periods tend to have larger compounding factors. Compounding does have a place in return measurement. As an example, if an investor wants to know what her wealth will be at retirement, then we do need to compound the returns of her investment over the savings period. However, if we are trying to measure how big the abnormal return from a particular event is, then we should not compound its return over long holding periods. The remainder of the article is organized as follows. First, I review some examples in which the effects of compounding are attributed to the effect of a single day or event. Then, I describe how compounding can distort inference in event studies and mutual fund performance, and review some return-measurement methodologies that are not distorted by compounding. The last section concludes.
Fooled by Compounding: Some exampleS
Examples of attributing the effect of compounding to a single event can be found in the popular media and academic literature.
black Swans and the S&p 500
There is no shortage of examples in which authors attribute the effects of compounding over a large number of days to just a few days returns. In the book The Black Swan: The Impact of the Highly Improbable, Nassim Taleb refers to a graph showing the buy-and-hold return of an investment in the S&P 500 over a 50-year period (shown in Exhibit 1 of this article) both with and without the 10 highest-return days. The exhibit shows that if the 10 highest-return days are excluded, then the investor loses about half of her total buy-and-hold return. Taleb states the following ([2007, p. 275]):
Look at the graph in Figure 14. In the last fifty years, the ten most extreme days in the financial markets represent half the returns. Ten days in fifty years. Meanwhile we are mired in chitchat.
In the caption under Talebs Figure 14 ([2007, p. 276]), he states the following:
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By removing the ten biggest one-day moves from the U.S. stock market over the past fifty years we see a huge difference in returnsand yet conventional finance sees these one day jumps as mere anomalies.
The issue here is to attribute the total difference in buy-and-hold returns to one-day jumps that occurred
on the 10 largest days. When the 10 largest days are removed from the total buy-and-hold return of the S&P 500 over a 50-year period, not only are the returns of the 10 days removed, but so is the compounding of those days returns over the 12,829 other days in the holding period, and this is what really matters. If half of the returns from the S&P 500 over the last 50 years were due to jumps, then these 10 jumps should be visible in
exhibit 1
investing in the S&p 500 over the last 50 years
This exhibit plots the value of $1 that is invested in the S&P 500 during the period 1955 to 2005. In Panel A, the value is also computed excluding the 10 days with the highest returns. In Panel B, the value is also computed excluding both the 10 days with the highest returns and the 10 days with the lowest returns.
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Exhibit 1, which plots this investment. Do we observe 10 jumps in the line that plots the return of the S&P 500 in Exhibit 1? In March 2006, the Financial Times ran a series of articles called Mastering Uncertainty. Benoit Mandelbrot and Nassim Taleb wrote an article for this series titled A Focus on the Exceptions That Prove the Rule.1 As in The Black Swan, the point of the article is largely to show that just a few outliers account for the bulk of many things (e.g., book sales, internet searches, and wealth). Mandelbrot and Taleb [2006] applied this framework to the stock market, and refer to a graph similar to that in Exhibit 1, stating the following:
Taken together, these facts should be enough to demonstrate that it is the so-called outlier and not the regular that we need to model. For instance, a very small number of days account for the bulk of the stock market changes: just 10 trading days represent 63 per cent of the returns of the past 50 years.
shows the total return of an investor who invested $1 in the S&P 500 in 1955 and held it through 2005. Panel B shows this investment with all days and compares it to an investment that removes both the 10 largest-return and 10 worst-return days. The investment that excludes both the 10 best and 10 worst days has a terminal value of $253, which is 32% greater than the investment that includes all of the days ($191). Clearly, the 10 highest-return days do not represent half of the markets returns, because we can make an investment that excludes them and get a larger return. Why does excluding the 10 worst days make such a big difference? Panel B in Exhibit 2 shows that the 10 worst days have larger returns (in absolute value) than the 10 best, so compounding these returns over thousands of other days has a greater effect than does compounding the 10 largest returns.
exhibit 2
The 10 Highest- and 10 lowest-Return days for the S&p 500, 19552005
This exhibit reports the 10 highest-return days (Panel A) and the 10 lowest-return days (Panel B) for the S&P 500 during the period 19552005. The far right column reports the simple interest that would be earned from investing $1 on each of these days.
It is easy to show that virtually all of what Taleb [2007] and Mandelbrot and Taleb [2006] were referring to is not returns on the ten largest days, but rather the compounding of those returns over thousands of other days. Panel A of Exhibit 1 shows the total returns of an investor who invested $1 in the S&P 500 in 1955 and held that investment through 2005 (the data are from CRSP), as reported by Taleb [2007] and Mandelbrot and Taleb [2006]. The investment is shown both with and without the 10 largest-return days for the S&P 500. When the 10 largest days are included, the investor has terminal wealth of $191. When the 10 largest days are excluded, the investors terminal wealth is $112. Hence, excluding the 10 largest days costs the investor $78.92, or 41% of her total return over the 50-year holding period. Panel A of Exhibit 2 displays the returns of the 10 highest-return days, which range from 4.77% to 8.81%. If the investor were to invest only $1 on each of these 10 days, in isolation, the investor would earn $0.55 in dollar returns. Of the $78.92 reduction in terminal value that results from excluding the 10 largest days, only $0.55, or 0.7%, comes from the returns that could be independently achieved on those 10 days. The other $78.37, or 99.93%, results from compounding, as shown in Exhibit 3. To further understand the problems of attributing half of the S&P 500s returns to just 10 days, consider Panel B of Exhibit 1. Like Panel A, Panel B of Exhibit 1
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exhibit 3
Why excluding the 10 largest days matters
This exhibit breaks out the total difference between investing $1 in the S&P 500 during the period 19552005 and investing $1 in the S&P 500 over the same period, but excluding the 10 largest-return days. The total difference is divided into simple interest and compounding effects. Simple interest from the 10 largest days is the sum of the simple interest that could be earned by investing $1 on each of these days. The difference due to compounding is the portion of the total difference that is not the result of the simple interest that could be earned by investing on these 10 days.
For those who want to make statements regarding the magnitude of high-return days, they can simply measure the returns on these days and compare them to the daily mean return of the sample. With respect to the S&P 500, its mean daily return over the period 19552005 is 0.045%, and its standard deviation is 0.908%. Each of the returns on the 10 largest days that are described in Exhibit 2 is more than five standard deviations greater than the samples mean. The returns on these days are certainly outliers, but in isolation they do not account for nearly half of the total returns that could be achieved by investing in the S&P 500 over this 50-year period.
exaggerating the importance of High-Return days: more examples
geometric average, which avoided overstating the true performance. For people who missed the 90 biggest-gaining days in that period, however, the annual return fell to just 3.2 percent. Less than 1 percent of the trading days accounted for 96 percent of the market gains.
Even professional investment advisors make this mistake. The statement from The New York Times article referred to two studies conducted by Towneley Capital Management. Following is an excerpt from the introduction of a study by Towneley [2005] 2 :
What surprised us, however, was the conclusion that practically all of the markets gains or losses over several decades occurred during only a handful of days or months. For example, in the original study, 95% of market gains between 1963 and 1993 were generated during a mere 1.2% of the trading days. Many people have contacted us over the last 10 years asking for copies of the study. Recently, however, we began receiving requests for an updated version. Since, we also were curious to see how the last decade might have changed results,
Journalists also exaggerate the effects of high-return days with compounding. As an example, an article that appeared in The New York Times on October 8, 2008, attributed the effects of compounding over a 40-year period to returns that occurred over just 90 days:
From 1963 to 2004, the index of American stocks he tested gained 10.84 percent annually in a
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we asked Dr. Seyhun to revise the study, incorporating data through the year 2004. The results were virtually unchanged: 96% of market gains between 1963 and 2004 occurred during only 0.9% of the trading days.
days are referred to as returns that occurred on just the high-return days.
buy-and-Hold abnoRmal ReTuRnS (bHaRs)
It is not surprising that Towneley found similar results in both samples, as compounding worked the same from 1963 to 1993 as it did from 1993 to 2004. Towneley is not the only major investment advisory firm to mistake the effects of compounding for returns created over just a few days. The following statement was obtained from the website of John Hancock Investment Advisors [2008]:
Market upswings are as unpredictable as declines, and history shows that a significant amount of the long-term return available from investing in stocks comes from gains made in a relatively small number of trading days.
Compounding can distort inference in event studies and mutual fund performance measurement. This section describes several examples of these effects. I describe two return-measurement methodologies that are not distorted by compounding: cumulative abnormal returns (CARs) and average abnormal returns (AARs).
event Studies
Finance professors and finance journal editors also can be confused by compounding. The following statement was made by Estrada [2008]:
As these figures show, in all cases a very small number of days accounts for the bulk of returns delivered by emerging equity markets. Investors in these markets do not obtain their long-term returns smoothly and steadily over time but largely as a result of booms and busts. A negligible proportion of days determine a massive creation or destruction of wealth.
As discussed earlier, compounding can also create confusion in abnormal return measurement. This problem can arise when buy-and-hold abnormal returns (BHARs) are used to test whether a portfolios returns exceeds those of its benchmark over long holding periods, as in the example given at the beginning of this article. BHAR is a comparison between the total buy-and-hold return of a portfolio and that of its benchmark. BHAR, therefore, is affected by compounding. BHAR is computed as follows: BHAR = (1 + rPortfolio,t ) (1 + rBenchmark,t )
t =1 t =1 T T
In fact, the opposite is true. Investors do earn their returns smoothly over time, as Exhibit 1 shows, and not in a few boom and busts, as Estrada claimed. Estrada [2009] made a similar misstatement in another article:
As these figures show, in all cases a very small number of days account for the bulk of returns delivered by equity markets. Investors do not obtain their long-term returns smoothly and steadily over time but largely as a result of booms and busts.
These examples show that the effects of compounding exaggerate the size of high-return days. In each of these examples, both the actual returns on high-return days and the compounding of these returns over thousands of other
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Mitchell and Stafford [2000] and Fama [1998] also described problems that can arise with BHAR because of compounding.3 Fama cited the results of Desai and Jain [1997] and Ikenberry, Rankine, and Stice [1996] as examples of how BHARs can distort inference; both studies used BHARs to analyze abnormal returns following stock splits. Ikenberry, Rankine, and Stice reported that stock splits generate a one-year BHAR of 7.93%, while the BHARs in the second and third years are zero. The BHAR over the entire period (three-year BHAR) is 12.15%. There were no differences between the portfolios in years two and three, yet the BHAR still grows during these years because of compounding. To see how compounding can distort inference with BHAR in a generic setting, consider an example similar to the one at the beginning of this article. A firm has a return of 2% in the month following an event, while the benchmark has a return of 1% in the same month. Both the firm and its benchmark have
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returns of 1% in all other months. If we measure the BHAR in just the month following the event, it is 1% (1 1.02 1 1.01). If we measure the returns over one year, the buy-and-hold return for the firm is 13.80% and for the benchmark it is 12.68%; the BHAR is therefore 1.12%. When the measurement horizon is extended to 5 years, the BHAR is 1.80%, and if extended to 10 years, the BHAR is 3.27%. Hence, as the horizon grows, the BHAR also grows, even though the returns are identical after the first month. For this reason the 3-year BHAR in Ikenberry, Rankine, and Stice [1996] exceeds the 1-year BHAR, even though the second- and third-years BHARs are zero. Why do people use BHARs? Barber and Lyon [1997] pointed out that BHARs accurately measure the investors experience. Indeed, it is true that if an investor were to invest in the stock-split portfolio described by Ikenberry, Rankine, and Stice [1996], then his terminal wealth would be 12.15% higher three years later compared to holding the benchmark during the same three-year period. It is also true, however, that the investor could have switched to the benchmark portfolio after the end of the first year and achieved the same return at the end of the third year. When choosing a return-measurement methodology, it is important to consider the questions you are trying to answer. In the preceding example, the questions are, do stock splits create abnormal returns, and if so, how big are they? BHAR does not give an accurate answer to either question because it reports not only the abnormal returns, but also the compounding of those returns over the holding period.
mutual Funds
abnormal returns of 3.5% per year during the incubation period (Note that if a company starts 10 new funds, then by luck we would expect 5 of the funds to beat the index in the first year.). After the incubation period, however, the average abnormal return for these funds is zero. Plotting the growth of a dollar invested, or using BHAR to measure performance over the entire life of an incubated fund, could make it appear as if the fund continued to have abnormal performance after the incubation period, when in fact there was none. As an example, assume that a fund was incubated for a year and had a return of 13.5% during that year. Assume the funds benchmark had an average return of 10% per year, and that after the fund was brought public, it tied its benchmark over the next five years, as is typical for incubated funds. $100 invested in the benchmark would yield $110 after the first year and $161.05 at the end of the fifth year. $100 invested in the fund would yield $113.50 after the first year and $166.18 at the end of the fifth year. Hence, if the mutual fund company plotted the growth of $100 over the entire five-year period, it would appear that the fund created $166.18 $161.05 = $5.13 in value. But all that is happening is just the compounding of the first years abnormal performance, which was $113.50 $110.00 = $3.50, and was never available to the investor: Mutual Funds Five-Year Terminal Value: $113.50 1.104 = $166.18 Benchmarks Five-Year Terminal Value: $110.00 1.104 = $161.05 An investor in this case probably should not expect to do any better with the fund than with the benchmark, but compounding may fool her into believing otherwise. The longer the holding period, the better the fund looks, even though the fund is not creating any value after the first year. More generally, even if a manager does produce abnormal performance, comparing the terminal value of an investment in a fund to the terminal value of an identical investment in the funds benchmark, as is commonly done in the mutual fund industry, is an imprecise way to measure a managers performance. This is because the difference in terminal values contains both the abnormal performance and the compounding of the abnormal performance over the measurement period.
The same type of inference problems with event studies can also happen when analyzing mutual fund returns. As an example, inference problems can occur when investors compare charts that plot the dollar value of an investment in a portfolio versus that in a benchmark portfolio. The findings in Evans [2010] highlight the potential for such a problem. Evans documented an incubation process in which mutual fund companies privately start new funds and then bring some of them public after an incubation period. Only the funds with strong performance are brought public, while those with weak performance are terminated. The funds that are brought public have
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alternative measures of Returns
Two return methodologies that are not influenced by compounding are cumulative abnormal returns (CARs) and average abnormal returns (AARs), which are also known as calendar time abnormal returns. Both of these methods, and especially AAR, are advocated over BHAR by Fama [1998] and Mitchell and Stafford [2000]. To compute CAR, we subtract the monthly return of the benchmark from that of the portfolio, and sum up the differences over the sample period, CAR = (rPortfolio,t rBenchmark,t )
t =1 T
incubated fund described in the previous section would also go to zero over a sufficiently long holding period.
ConCluSion
To compute AAR, we subtract the monthly return of the benchmark from that of the portfolio, and take an average of the difference over the sample period,4 AAR = 1T (rPortfolio,t rBenchmark,t ) T t =1
To see how these methods can yield a different inference from BHAR, consider a mutual fund that has a return of 2% in the first month and 1% thereafter, and a benchmark portfolio that has a return of 1% per month throughout the entire sample period. The appendix reports the abnormal returns of the two funds with each of these different measures over the various holding periods. The AAR after one month is 1%. After one year, the AAR is 0.08% (0.01/12), and after five years, it is 0.01% (0.01/60). Hence, as we increase the holding period, the AAR in this example goes to zero, as it should, because the manager only created value in the first month. In this example, the outcome with AAR is the exact opposite of the outcome with BHAR. The one-month BHAR is 1%, the one-year BHAR is 1.12%, and the five-year BHAR is 3.27%. The BHAR in this example will head toward infinity as the holding period gets larger. The CAR in this example is 1%, regardless of the holding period. Which is the best method to use? In the fund manager example, AAR may provide the clearest picture if the question we want to answer is, should we expect the manager to create value in the future? Over the entire five-year period of this example, the manager only beat the index in 1 of 60 months, and that is likely due to luck. The AAR suggests that the funds returns are not significantly different from the benchmarks returns, which appears to be correct. Note that the AAR of the
Accurate abnormal return measurement is crucial for understanding the significance of high- and lowreturn days, corporate events such as stock splits, and mutual fund performance. In this article, I show that compounding can distort inference in each of these instances. This is true because total holding-period returns contain not only the return from the event itself, but also the return compounded over days that did not contain the event. I show that there is a tendency to confuse returns from compounding as the return from an event. The distorting effect of compounding is more pronounced when long holding periods are used, because the effects of compounding increase with time. An alternative methodology, known as average abnormal returns (AARs), or the calendar-time portfolio approach, is described. This method of return measurement is not affected by compounding, and therefore may provide more honest appraisals of event significance and fund manager ability. Compounding does have a place in return measurement, however: whether to compound depends on the question that we are trying to answer. If an investor wants to know what her wealth will be at retirement, then we need to compound the returns of her investment over the savings period. If we are trying to measure how big the abnormal return from a particular event is, then we should not be compounding the events return over long holding periods.
appenDix
CompaRiSon oF abnoRmal ReTuRn meaSuRemenT meTHodologieS
This exhibit displays the abnormal returns from a portfolio that had a return of 2% in an event month and 1% in all other months. The benchmark portfolio had a return of 1% in all months. Buy-and-hold abnormal return (BHAR) is the difference between the buy-and-hold returns of the portfolio and the benchmark, BHAR = (1 + rPortfolio,t ) (1 + rBenchmark,t )
t =1 t =1 T T
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Cumulative abnormal return (CAR) is the sum of the differences in monthly returns between the portfolio and the benchmark, CAR = (rPortfolio,t rBenchmark,t )
t =1 T
Desai, H., and P. Jain. Long-Run Common Stock Returns Following Splits and Reverse Splits. Journal of Business, 70 (1997), pp. 409-433. Estrada, J. Black Swans and Market Timing: How Not to Generate Alpha. The Journal of Investing, Vol. 17, No. 3 (2008), pp. 14-21. . Investing in Emerging Markets: A Black Swan Perspective. Corporate Finance Review, January/February 2009, pp. 14-21. Evans, R. Mutual Fund Incubation. Journal of Finance, 65 (2010), pp. 1581-1611. Fama, E. Market Efficiency, Long-Term Returns, and Behavioral Finance. Journal of Financial Economics, 49 (1998), pp. 283-306. Ikenberry, D., G. Rankine, and E. Stice. What Do Stock Splits Really Signal? Journal of Financial and Quantitative Analysis, 31 (1996), pp. 357-377. Jensen, M. The Performance of Mutual Funds in the Period 19451964. Journal of Finance, 23 (1968), pp. 389-416.
Average abnormal return (AAR) is the average of the difference in monthly returns between the portfolio and the benchmark, AAR = 1T r ) (r T t =1 Portfolio,t Benchmark,t
endnoTeS
The author is grateful to Claire Lang, Min Maung, Jay Ritter, and Mengxin Zhao for helpful comments. 1 This article was reprinted in 2009. 2 The Towneley study is available at http://www. towneley.com/pdf/MT%20Study%2004.pdf. 3 These articles also describe a number of statistical issues that arise with BHAR. 4 Mutual fund alpha, a concept introduced by Jensen [1968], is computed via an AAR methodology.
John Hancock Investment Advisors. Saving for College in a Volatile Market. John Hancock Freedom 529 Market Volatility Message, November 18, 2008. Available at www.johnhancockfreedom529.com/public/site/page/0,,Market_Volatilty_ Message,00.shtm. Mandelbrot, B., and N. Taleb. A Focus on the Exceptions That Prove the Rule. Financial Times, March 23, 2006. Mitchell, M., and E. Stafford. Managerial Decisions and Long-Term Stock-Price Performance. Journal of Business, 73 (2000), pp. 287-329. Taleb, N. The Black Swan: The Impact of the Highly Improbable. New York, NY: Random House, 2007. To order reprints of this article, please contact Dewey Palmieri at dpalmieri@ iijournals.com or 212-224-3675.
ReFeRenCeS
Barber, B., and J. Lyon. Detecting Long-Horizon Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics. Journal of Financial Economics, 43 (1997), pp. 341-372.
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R. DaviD McL ean

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alternative measures of Returns

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