Asset Managers: Institutional Performance and Factor Exposures

• 成果类型: Article
• 署名作者: Gerakos, Joseph; Linnainmaa, Juhani T.; Morse, Adair
• 署名单位: Dartmouth College; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13026
• 发表日期: 2021
• 页码: 2035-2075
• 关键词: PRESIDENTIAL-ADDRESS; efficient; INEFFICIENT; investors; momentum; MARKETS; size

摘要

Using data on $18 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 75 (31) bps on a gross (net) basis during the period 2000 to 2012. Estimates from a Sharpe 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.