Are factors the future of active asset management? Since many studies have reported that active managers lag their benchmarks after costs, low-cost passive investing is now widely recognized as a winning long-term strategy.
This new paper1 , however, reaches different conclusions. Based on a dataset covering $17 trillion of assets under management, it states that actively managed institutional accounts outperformed their benchmarks by 86 basis points before and 42 basis points after fees over the 2000-2012 period.
A further analysis shows that this outperformance can be fully attributed to exposures to classic factor premiums. The authors suggest that sophisticated investors should be able to obtain these factor exposures in a more cost-efficient manner using dedicated factor strategies. In sum, the paper supports the use of active management, and, in particular, the adoption of an active factor investing approach.
1 Gerakos, Linnainmaa & Morse, “Asset Managers: Institutional Performance and Smart Betas”, SSRN working paper no. 2733147.
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.