SSE/EFI Working Paper Series in Economics and Finance
Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions
Abstract: In this paper, I obtain new measures of the value of
active portfolio management by forming replicating portfolios. These
measures allow for a separate evaluation of fund managers' strategic and
tactical decisions. I also obtain new evidence on the value of trading by
decomposing it into long-term trading decisions, short-term trading
decisions, and trading that is the result of regulatory restrictions.
Overall, the evidence supports the value of active portfolio management and
that the average fund manager creates value for its investors. Moreover,
the results show a positive relation between the value created and trading
Keywords: Mutual Funds; Portfolio Evaluation; Performance Attribution; Trading; (follow links to similar papers)
JEL-Codes: G11; G12; G23; (follow links to similar papers)
31 pages, January 28, 2004
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