Asset Managers: Institutional Performance and Factor Exposures

71 Pages Posted: 17 Feb 2016 Last revised: 12 Nov 2019

See all articles by Joseph Gerakos

Joseph Gerakos

Tuck School of Business at Dartmouth College

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)

Adair Morse

University of California, Berkeley - Haas School of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: November 9, 2019

Abstract

Using data on $18 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 88 (44) basis points on a gross (net) basis during the period 2000–2012. Estimates from a Sharpe (1992) model imply that asset managers’ outperformance came from factor exposures. If institutions had instead implemented mean variance efficient portfolios using index and institutional mutual funds available during the sample period, they would not have earned higher Sharpe ratios. Our results are consistent with the average asset manager having skill, managers competing for institutional capital, and institutions engaging in costly search to identify skilled managers.

Suggested Citation

Gerakos, Joseph and Linnainmaa, Juhani T. and Morse, Adair, Asset Managers: Institutional Performance and Factor Exposures (November 9, 2019). Available at SSRN: https://ssrn.com/abstract=2733147 or http://dx.doi.org/10.2139/ssrn.2733147

Joseph Gerakos (Contact Author)

Tuck School of Business at Dartmouth College ( email )

Hanover, NH 03755
United States

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business ( email )

Hanover, NH 03755
United States

HOME PAGE: http://www.tuck.dartmouth.edu/faculty/faculty-directory/juhani-linnainmaa

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Adair Morse

University of California, Berkeley - Haas School of Business ( email )

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
1,156
Abstract Views
4,378
rank
18,015
PlumX Metrics