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Title:Does active portfolio management create value? An evaluation of fund managers' decisions PDF Logo
Authors:Engström, Stefan
Issue Date:2004
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 553
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.
Subjects:Mutual Funds
Portfolio Evaluation
Performance Attribution
Trading
JEL:G11
G12
G23
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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