NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Asset Managers: Institutional Performance and Smart Betas

Joseph Gerakos, Juhani T. Linnainmaa, Adair Morse

NBER Working Paper No. 22982
Issued in December 2016
NBER Program(s):Asset Pricing

Using a dataset of $17 trillion of assets under management, we document that actively-managed institutional accounts outperformed strategy benchmarks by 86 (42) basis points gross (net) during 2000–2012. In return, asset managers collected $162 billion in fees per year for managing 29% of worldwide capital. Estimates from a Sharpe (1992) model imply that their outperformance comes from factor exposures ("smart beta"). If institutions had instead implemented mean-variance portfolios of institutional mutual funds, they would not have earned higher Sharpe ratios. Recent growth of the ETF market implies that asset managers are losing advantages held during our sample period.

You may purchase this paper on-line in .pdf format from SSRN.com ($5) for electronic delivery.

Access to NBER Papers

You are eligible for a free download if you are a subscriber, a corporate associate of the NBER, a journalist, an employee of the U.S. federal government with a ".GOV" domain name, or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.

E-mail:

A non-technical summary of this paper is available in the March 2017 NBER digest.  You can sign up to receive the NBER Digest by email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w22982

Users who downloaded this paper also downloaded* these:
Neuhierl and Weber w22831 Monetary Policy and the Stock Market: Time-Series Evidence
Himmelberg, Mayer, and Sinai w11643 Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions
Brooks, Kaboski, and Li w22947 Growth Policy, Agglomeration, and (the Lack of) Competition
Buchak, Matvos, Piskorski, and Seru w23288 Fintech, Regulatory Arbitrage, and the Rise of Shadow Banks
Linnainmaa and Roberts w22894 The History of the Cross Section of Stock Returns
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us