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Bridge over ocean
1 November 2011 Financial Analysts Journal Volume 67, Issue 6

Active Management in Mostly Efficient Markets

  1. Robert C. Jones
  2. Russ Wermers

This survey of the literature on the value of active management shows that the
average active manager does not outperform but that a significant minority of
active managers do add value. Further, studies suggest that investors may be
able to identify superior active managers (SAMs) in advance by using public
information. Investors who can identify SAMs should be able to improve their
overall Sharpe ratio by including a meaningful exposure to active
strategies.

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