Identifying Characteristics to Predict Separately Managed Account Performance

Posted: 9 Aug 2011

See all articles by James D. Peterson

James D. Peterson

Charles Schwab Investment Advisory

Michael J. Iachini

Charles Schwab - Charles Schwab Investment Advisory, Inc

Wynce Lam

LWI Financial Inc.

Date Written: August 9, 2011

Abstract

The authors analyzed a large sample of domestic equity separately managed accounts over the 1991-2009 period and found evidence that manager skill persists. They also found that managers who were more active had better returns, and they documented a strong negative relationship between assets under management and future performance, even for large-cap strategies. Large cash inflows and a high number of accounts under management hindered subsequent performance for small-cap strategies.

Keywords: Equity Investments, Portfolio Management, Equity Portfolio Management Strategies, Active Management, Performance Measurement and Evaluation, Performance Attribution, Measuring Manager Skill

Suggested Citation

Peterson, James D. and Iachini, Michael J. and Lam, Wynce, Identifying Characteristics to Predict Separately Managed Account Performance (August 9, 2011). Financial Analysts Journal, Vol. 67, No. 4, 2011, Available at SSRN: https://ssrn.com/abstract=1907300

James D. Peterson (Contact Author)

Charles Schwab Investment Advisory ( email )

211 Main Street, SF211MN-11-107
San Francisco, CA 94105
United States
4156670879 (Phone)

Michael J. Iachini

Charles Schwab - Charles Schwab Investment Advisory, Inc ( email )

Denver, CO
United States

Wynce Lam

LWI Financial Inc. ( email )

3055 Olin Avenue, Suite 2000
San Jose, CA 95128
United States

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