Active Management in Mostly Efficient Markets

Posted: 23 Nov 2011

See all articles by Russ Wermers

Russ Wermers

University of Maryland - Robert H. Smith School of Business

Robert W. Jones

affiliation not provided to SSRN

Date Written: November 22, 2011

Abstract

This survey of the literature on the value of active management shows that the average active manager does not outperform but that a significant minority of active managers do add value. Further, studies suggest that investors may be able to identify superior active managers (SAMs) in advance by using public information. Investors who can identify SAMs should be able to improve their overall Sharpe ratio by including a meaningful exposure to active strategies.

Keywords: Portfolio Management, Equity Portfolio Management Strategies, Active Management, Fixed-Income Portfolio Management Strategies, Active Management, Portfolio Concepts from Capital Market Theory, Efficient Market Hypothesis, Risk Management

Suggested Citation

Wermers, Russell R. and Jones, Robert W., Active Management in Mostly Efficient Markets (November 22, 2011). Financial Analysts Journal, Vol. 67, No. 6, 2011. Available at SSRN: https://ssrn.com/abstract=1963292

Russell R. Wermers (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

Department of Finance
College Park, MD 20742-1815
United States
301-405-0572 (Phone)
301-405-0359 (Fax)

HOME PAGE: http://www.rhsmith.umd.edu/finance/rwermers/

Robert W. Jones

affiliation not provided to SSRN ( email )

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