作者：Gerakos, Joseph; Linnainmaa, Juhani T.; Morse, Adair
作者单位：Dartmouth College; National Bureau of Economic Research; University of California System; University of California Berkeley
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...
