Active Share and the Predictability of the Performance of Separate Accounts
研究了独立账户这一投资管理行业中规模大但研究不足的领域，发现平均而言独立账户表现不佳，但高主动份额的账户存在正向业绩持续性，过去表现好的高主动份额独立账户组合年化净阿尔法为1.38%。
Separate accounts are a large and unique, but understudied, part of the investment management industry. Within our sample, on net, the average separate account underperforms, but for those with high active share, we find positive performance persistence. Among high active share separate accounts, a portfolio of those with strong past performance has a subsequent net alpha of 1.38% per year (t = 2.11). That result strengthens when return dispersion is high and among separate accounts with a small cap style, a fundamental investment approach, or lower cash holdings. These results provide out-of-sample support for the predictive utility of active share.