文件大小:未知
级别评定:★★★★★
添加时间:2016-05-26 11:37:14
最后更新:2016-05-26 11:38:43
下载积分:0分 (只有会员文件下载时才需要相应积分验证)
总浏览:
总下载:3
发布人:george15135
Asset manager funds
Joseph Gerakos Juhani T. Linnainmaa Adair Morse
February 2016
Abstract
Institutional investors paid asset managers average annual fees of $172 billion between 2000 and 2012. We show that asset managers outperformed their benchmarks by 96 basis points per year before fees, and by 49 basis points after fees. Estimates from a Sharpe (1992) model suggest that asset managers achieved outperformance through factor exposures (\smart beta"). If institutions had instead implemented a long-only mean-variance ecient portfolio over the same factors via
institutional mutual funds, they would have earned just as a high, but no higher, Sharpe ratio as by delegating to asset managers. Liquid, low-cost ETFs are likely eroding the comparative advantage of asset managers. Because asset managers account for 29% of investable assets, the adding-up constraint implies that the average dollar of everyone else had a negative alpha of 49 basis points.