The Death of Active Management Has Been Greatly Exaggerated
研究发现主动管理基金经理的业绩受选股和投资组合构建共同影响，而后者因忽视风险而抵消了选股带来的预期收益，解释了资金向被动策略迁移的原因。
Over the past decade, the asset management industry witnessed a significant migration of capital from active investment strategies into passive investment strategies. Undoubtedly, the structural change is shaking the active management–dominated mutual fund industry to its core. A closer scrutiny of active management suggests that the performance of active managers is mainly a function of both stock selection and portfolio construction. As other studies have already provided evidence of successful stock selection strategies via factor premiums, the author focuses on examining the impact of portfolio construction on portfolio performance. The author finds that active managers’ failure to incorporate risk during portfolio construction overwhelms the expected return signal from stock selection.