A recent report suggests that the performance of even the most successful active managers is more luck of the draw than shrewd gamesmanship.

According to the December 2019 S&P Persistence Scorecard results published this week by S&P Dow Jones Indices, few fund managers sustain high performance across multiple years – and in some categories, none are able to do so.

For example, in domestic equity mutual funds that were categorized in the top quartile of performers in September 2017, not even half, 47%, were able to maintain their performance in the subsequent year. When the same funds’ performance was looked at through the end of September 2019, just 8% of funds remained in the top quartile of performers.

The longer the time period studied, the fewer managers were able to sustain their outperformance: Less than 3% of equity mutual funds across all categories were able to sustain performance in the top quartile of funds across five years of measurement – and no large-cap funds delivered top quartile performance through five years.

Out of 13 fixed-income categories analyzed by the researchers, seven showed no managers remaining in the top quartile of performers over a five-year horizon.

If very few or no managers are able to consistently outperform their peers, most outperformance should not be attributed to skill.

S&P Dow Jones Indices researchers also noted the declining persistence of high performance in some categories as compared to six months ago, the last time they conducted their persistence analysis. As they looked at equity funds down the market capitalization spectrum, they noted lower persistence in periods ending in September 2019 – for example, mid-cap mutual fund persistence over a three-year period dropped from 14% in March to less than 7% in September, while small-cap persistence dropped from 23.3% to 11%.

Nevertheless, the researchers also found some evidence of persistent outperformance among active managers – among 969 domestic equity mutual funds found in the top half of performers at the end of September 2014, over 49% remained in the top half of performers at the end of September 2019. Among funds in the bottom half of performers in September 2014, just under 31% remained in the bottom half of performers in September 2019. Bottom-half performers were also more likely to merge, liquidate or change style than top-half performers.

However, when the researchers looked at the top-performing quartile of equity funds, they found that a high-performing manager was almost as likely to remain among the top quartile (32%) as they were to drop to the lowest quartile of performers, liquidate, or merge their fund (28%).

The S&P Dow Jones Indices Persistence Scorecard is based on an analysis of the University of Chicago’s Center for Research in Security Prices’ Survivorship Bias Free Mutual Fund Database.