A study by Standard & Poor's found that on an asset-weighted basis (calculated on a equal money basis) index returns beat beat actively managed fund returns in all 13 fixed income categories over one and three year periods, and in 11 of 13 categories over five years.
Over five years, average annualized returns for investment grade long term bond funds lost to the benchmark index by 2.7%. Similarly, each year high yield bond funds lost to the benchmark index by 1.9%.
For mortgage backed securities funds, 98% lagged the benchmark over five years. Long term investment grade corporate bond funds lost to the benchmark index 92% of the time over 5 years.
