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The Performance of Separate Accounts and Collective Investment Trusts

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  • Edwin J. Elton
  • Martin J. Gruber
  • Christopher R. Blake

Abstract

Despite the size and importance of separately managed accounts (SMAs) and collective investment trusts, their characteristics and performance have not been studied in detail. We show that separate account performance is similar to that of index funds and superior to that of actively managed mutual funds. Management supplies a benchmark for each separate account. When the management-selected benchmark is used to measure performance, performance is significantly overstated. Despite this, investors react to differences in performance from the management-preferred benchmark in choosing among SMAs. Finally we find variables that explain both the cross section of alphas and the cross section of cash flows.

Suggested Citation

  • Edwin J. Elton & Martin J. Gruber & Christopher R. Blake, 2014. "The Performance of Separate Accounts and Collective Investment Trusts," Review of Finance, European Finance Association, vol. 18(5), pages 1717-1742.
    • Handle: RePEc:oup:revfin:v:18:y:2014:i:5:p:1717-1742.
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    File URL: http://hdl.handle.net/10.1093/rof/rft038
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    References listed on IDEAS

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