| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22982 |
| 来源ID | Working Paper 22982 |
| Asset Managers: Institutional Performance and Smart Betas | |
| Joseph Gerakos; Juhani T. Linnainmaa; Adair Morse | |
| 发表日期 | 2016-12-26 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Using a dataset of $17 trillion of assets under management, we document that actively-managed institutional accounts outperformed strategy benchmarks by 86 (42) basis points gross (net) during 2000–2012. In return, asset managers collected $162 billion in fees per year for managing 29% of worldwide capital. Estimates from a Sharpe (1992) model imply that their outperformance comes from factor exposures ("smart beta"). If institutions had instead implemented mean-variance portfolios of institutional mutual funds, they would not have earned higher Sharpe ratios. Recent growth of the ETF market implies that asset managers are losing advantages held during our sample period. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w22982 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580656 |
| 推荐引用方式 GB/T 7714 | Joseph Gerakos,Juhani T. Linnainmaa,Adair Morse. Asset Managers: Institutional Performance and Smart Betas. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22982.pdf（833KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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