Transcription of August 2009 Active versus Passive Equity Managers Using ...
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August 2009 Active versus Passive Equity Managers Using ...
The Active Share Measure 1 Introduction The debate about Using Active versus Passive portfolio management continues among investors, consultants, and academic researchers. For the most part, empirical evidence suggests that Active Equity Managers who beat their benchmarks net of fees and trading costs are few and far between. Nonetheless, many investors insist on searching for Active Managers who belong to that elite group. Others are content choosing Passive index funds for their traditional asset portfolios. It is surprising how often distinctions between (and arguments about) Passive and Active devolve into index funds versus everything else.
The Active Share Measure 3 index, it nicely reflects differences in systematic factor exposures.6 Note that TE measures the volatility of a fund’s excess returns, but it is not the case that higher TE necessarily implies higher risk as measured by total
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