Patient capital outperformance: The investment skill of high active share managers who trade infrequently
成果类型：
Article
署名作者：
Cremers, Martijn; Pareek, Ankur
署名单位：
University of Notre Dame; Rutgers University System; Rutgers University New Brunswick
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2016.08.003
发表日期：
2016
页码：
288-306
关键词：
摘要：
Among high active share portfolios whose holdings differ substantially from their benchmark only those with patient investment strategies (with holding durations of over two years) on average outperform, over 2% per year. Funds trading frequently generally underperform, including those with high active share. Among patient funds, separating closet index from high active share funds matters, as low active share funds on average under perform even with patient strategies. Our results suggest that U.S. equity markets provide opportunities for longer-term active managers, perhaps because of the limited arbitrage capital devoted to patient and active investment strategies. The Online Appendix is available at http://ssrn.comiabstract=2810798. (C) 2016 Elsevier B.V. All rights reserved.