Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions

Stefan Engstrom

No 553, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into long-term trading decisions, short-term trading decisions, and trading that is the result of regulatory restrictions. Overall, the evidence supports the value of active portfolio management and that the average fund manager creates value for its investors. Moreover, the results show a positive relation between the value created and trading activity.

Keywords: Mutual Funds; Portfolio Evaluation; Performance Attribution; Trading (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2004-01-28
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0553

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