Abstract

http://ssrn.com/abstract=302117
 
 

References (13)



 
 

Citations (3)



 


 



Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions


Stefan Engstrom


Stockholm School of Economics, Department of Finance; Agenta

January 28, 2004


Abstract:     
In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into long-term trading decisions, short-term trading decisions, and trading that is the result of regulatory restrictions. Contrary to previous evidence, this paper supports the value of active portfolio management and finds a positive alpha measure for the average fund manager. Moreover, the results show a positive relation between the value created and trading activity.

Number of Pages in PDF File: 32

Keywords: Mutual Funds, Portfolio Evaluation, Performance Attribution, Trading

JEL Classification: G11, G12, G23

working papers series


Download This Paper

Date posted: March 4, 2002  

Suggested Citation

Engstrom, Stefan, Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions (January 28, 2004). Available at SSRN: http://ssrn.com/abstract=302117 or http://dx.doi.org/10.2139/ssrn.302117

Contact Information

Stefan Engstrom (Contact Author)
Stockholm School of Economics, Department of Finance ( email )
P.O. Box 6501
Stockholm 113 83
Sweden
+46 8 402 16 82 (Phone)
Agenta ( email )
Vasagatan 15-17
Stockholm, 11120
Sweden
+ 46 8 402 16 82 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 4,269
Downloads: 1,610
Download Rank: 4,800
References:  13
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.625 seconds