Identifying Characteristics to Predict Separately Managed Account Performance
Posted: 9 Aug 2011
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
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