Financial Analyst Journal, Volume67, Issue6, 2011

高效市场中的积极管理

作者：Robert C. Jones (Arwen Advisors)

Russ Wermers (University of Maryland)

摘要：有关主动管理价值的文献显示，进行主动管理的基金经理的表现并不优于普通的基金经理，但也有少数积极管理型经理确实增加了其价值。此外，研究表明，投资者可能可以通过使用公共信息提前识别优秀的积极管理者（SAM）。能够识别优秀的积极的基金经理的投资者应该能够通过加入一个有意义的暴露到积极管理策略来提高他们整体的夏普比率。

Active Management in Mostly Efficient Markets

Robert C. Jones (Arwen Advisors), Russ Wermers (University of Maryland)

ABSTRACT

This survey of the literature on the value of active management shows that the average active manager does not outperform but that a significant minority of active managers do add value. Further, studies suggest that investors may be able to identify superior active managers (SAMs) in advance by using public information. Investors who can identify SAMs should be able to improve their overall Sharpe ratio by including a meaningful exposure to active strategies.

原文链接：https://www.cfapubs.org/doi/abs/10.2469/faj.v67.n6.5

翻译：秦秀婷