haku: @author Miller, K. L. / yhteensä: 2
viite: 1 / 2
« edellinen | seuraava »
| Tekijä: | Sorensen, E. H. Miller, K. L. Samak, V. |
| Otsikko: | Allocating between active and passive management |
| Lehti: | Financial Analysts' Journal
1998 : SEP/OCT, VOL. 54:5, p. 18-31 |
| Asiasana: | Pension funds Investments Policy Assets Stock markets USA |
| Vapaa asiasana: | Asset allocation |
| Kieli: | eng |
| Tiivistelmä: | 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. |
« edellinen | seuraava »
SCIMA