Performance Attribution of US Institutional Investors
分析1981-2002年美国机构投资者的季度持仓数据，发现他们在控制风险后能创造超额收益，风格选择是业绩主因，且选股能力显著。
Institutional investors play a prominent role in today's markets. Quarterly reported portfolio holdings make it possible to evaluate the risk-adjusted equity investment performance of all institutional investors in the United States during 1981–2002. The results indicate that institutional investors have been successful in managing client assets; they have added significant value by generating excess returns after controlling for underlying portfolio risk factors. Style choice is the main factor in determining overall portfolio performance, but institutional investors also displayed significant stock selection skills during the period. The stocks they choose for their portfolios have outperformed the stocks they exclude.