Conviction in Equity Investing
研究发现不到2%的主动管理产品表现出技能，机构投资者在挑选和监控经理上花费过多资源，而缺乏承担大赌注的意愿导致价值增值不佳。
In this article, the authors examine the record of active public equity managers by separating investment products into skilled, unskilled, and no evidence of skill categories. They find that less than 2% of products exhibited evidence of skill over the time period. The authors argue that institutional investors spend far more resources on selecting and monitoring active managers than is warranted by the results, either in terms of portfolio results (contribution to risk) or added value. The authors divide their sample into deciles of active risk (volatility of excess returns relative to the investment manager’s chosen benchmark, and also Fama–French style benchmarks) and find a clear positive relationship between active risk and value added. They argue that a lack of willingness to take large bets, due to career risk fears, accounts for the poor value-added results of active equity managers and that the preference of institutional investors and their advisors for over-diversification and precise control of risk and style has contributed to the industry’s weak record. Investment managers, asset owners, and their advisors, the authors argue, must step up to act with the courage of their convictions in portfolio management. <bold>TOPICS:</bold> <ext-link>Private equity</ext-link>, <ext-link>equity portfolio management</ext-link>, <ext-link>VAR and use of alternative risk measures of trading risk</ext-link>