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Simulating skilled active management

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  • S M Fox

    (Frank Russell Company Limited, Rex House)

Abstract

Active portfolio management is any complex process by which an investment manager seeks to add incremental returns relative to a market index. Across all types of active management there is one common element — forecasts — which determines active portfolio weights and subsequent performance. This research develops a model for active management useful for simulating performance and investigating the level of talent. The point of view is that of an outsider who observes the outcomes from the active management decision, but does not have complete knowledge of the decision-making process. Example applications (using synthetic data, European equity indexes and US fixed income indexes) demonstrate the interaction between opportunity set, skill and performance.

Suggested Citation

  • S M Fox, 2002. "Simulating skilled active management," Journal of Asset Management, Palgrave Macmillan, vol. 3(1), pages 73-89, July.
    • Handle: RePEc:pal:assmgt:v:3:y:2002:i:1:d:10.1057_palgrave.jam.2240067
    DOI: 10.1057/palgrave.jam.2240067
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