Active or passive?

J J Mezrich () and M S Rothman
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J J Mezrich: Morgan Stanley Dean Witter, Quantitative Strategies
M S Rothman: associate portfolio manager at Goldman Sachs Asset Management in their Quantitative Equities Division

Journal of Asset Management, 2001, vol. 1, issue 4, No 6, 374-379

Abstract: Abstract Active management success depends on large-cap relative performance and market volatility. The magnitude and direction of market volatility are pivotal in the active-passive debate. Increasing market volatility amplifies the small-cap penalty, whereas decreasing volatility enhances stock selection opportunities.

Keywords: active management; indexation; passive management (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1057/palgrave.jam.2240028

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