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The virtue of patience

The virtue of patience

25-01-2017 | From the field

In a previous study, Cremers showed that high active share funds beat the market on average, while low active share funds (closet indexers) do not.

  • David Blitz
    David
    Blitz
    Head of Quant Research

In this follow-up study* he shows that, among high active share funds, only those with patient investment strategies (i.e. where stocks are held for a period of at least two years) outperform their benchmarks on average. Funds that trade frequently are found to generally underperform, regardless of the extent of their active share. This thus presents two important evidence-based criteria for manager-selection purposes: high active share and low turnover. In line with Robeco’s quant investment philosophy we limit the amount of trading for our equity strategies.

*Cremers & Pareek, “Patient Capital Outperformance: The Investment Skill of High Active Share Managers Who Trade Infrequently”

Manténgase al día de las últimas perspectivas sobre inversión cuantitativa
Manténgase al día de las últimas perspectivas sobre inversión cuantitativa
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From the field
From the field

Nuestros investigadores publican multitud de informes basados en sus propios estudios empíricos; también siguen los análisis cuantitativos que hacen los demás. Comentarios de nuestro responsable de análisis cuantitativo para renta variable, David Blitz, sobre publicaciones externas de gran relevancia.

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