Active Management

Giuseppe Galloppo ()
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Giuseppe Galloppo: Tuscia University

Chapter Chapter 4 in Asset Allocation Strategies for Mutual Funds, 2021, pp 191-224 from Springer

Abstract: Abstract This chapter explains why, on average, actively managed funds earn more than passively managed funds. The performance drivers linked to the fact of being more or less distant from a benchmark are also studied in depth. The reader gets a chance to understand, what statistics techniques to apply for controlling of whether a fund is actively or passively managed, and what variables are the most important in predicting the performance. The relationship between active management and fund performance is analyzed by methods related both to formation of recursive portfolios and to multivariate regression setting.

Keywords: Active share; Tracking error; Measure of active management based on R squared; Industry concentration index (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-76128-8_4

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DOI: 10.1007/978-3-030-76128-8_4

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