search query: @author Miller, K. L. / total: 2
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| Author: | Sorensen, E. H. Miller, K. L. Samak, V. |
| Title: | Allocating between active and passive management |
| Journal: | Financial Analysts' Journal
1998 : SEP/OCT, VOL. 54:5, p. 18-31 |
| Index terms: | Pension funds Investments Policy Assets Stock markets USA |
| Freeterms: | Asset allocation |
| Language: | eng |
| Abstract: | With the recent difficulty in beating the S & P Index, the debate over active vs. passive investing has risen to a new level of performance. There is a framework provided for analyzing the trade-off the typical pension fund faces in deciding how much to index. The analysis gets at the root of active performance - stock-picking skill. After analyzing the performance associated with various degrees of skill in various equity styles for the 1985-1997 period, it was found that a modest amount of stock-picking skill goes a long way and that the optimal amount of allocation to indexing declines as skill increases. For most risk categories, however, some allocation to indexing is appropriate. |
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