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Active Management

The Changing Nature of

Equity Markets and the
Need for More Active
There are two sweet spots of active
equity management.

Understand. Act.

Active Management


Higher correlations and lower volatility

challenges to active management

How to react?

How to increase the level of risk


Measuring activity in a portfolio with

active share

Higher active share translates into

higher returns

Concentrated stock pickers and

diversified stock pickers

How concentrated should concentrated

stock pickers be?

Cremers & Petajistos notion of a stock

picker vs. stock picker in factor-risk

10 How to increase the return per unit

of risk diligently

Allianz Global Investors
Europe GmbH
Bockenheimer Landstr. 42 44
60323 Frankfurt am Main
Global Capital Markets & Thematic Research
Hans-Jrg Naumer (hjn)
Stefan Scheurer (st)
Dora Janikovszky

Data origin if not otherwise noted:

Thomson Reuters Datastream

Active Management

The Changing Nature of Equity

Markets and the Need for More
Active Management
Over the past 30 years, global active equity managers have
generated substantial value for clients, according to Mercers
GIMD database. However, more recently, the pace of outperformance has slowed significantly and there is a need for
more active management.
Understand. Act.
Andreas Utermann,
Global CIO Allianz
Global Investors

Low levels of volatility and high levels of

correlation translate todays active portfolio
positions into lower tracking error risk, resulting in lower expected alphas than in the past.

Higher correlations and lower

volatility challenges to active

There are two principal ways to deal with this:

Over the past 30 years, global active equity

managers have generated substantial value
for clients, according to Mercers GIMD database. However, more recently, the pace of
outperformance has slowed significantly, and
at the end of 2013, the median global active
equity manager was trailing the benchmark
on a three- and five-year basis.

Increase level of risk diligently

Increase the return per unit of risk
following the agenda outlined by the
fundamental law of active management
We at Allianz Global Investors have reacted
to the challenges posed by low volatility and
have increased the level of risk as measured
by the active share. We have also increased
the return per risk by expanding the investment universe, the strategy set and the implementation set.

Figure 1: Active Equity Managers Have Generated Substantial Value for Clients over the
Long Run (Mercer Database)
Relative performance of global equity managers according to Mercers GIMD database
Performance MSCI World in USD (indexed)

Relative performance
vs. MSCI World in USD


40 %


1.6 %
p. a. relative


30 %
20 %


10 %



10 %






relative performance, median manager (rhs)



MSCI World (lhs)

Source: Mercer, Allianz Global Investors

Data as of December 2013 Past performance is not a reliable indicator of future results. If the currency in which the past
performance is displayed differs from the currency of the country in which the investor resides then the investor should
be aware that due to the exchange rate fluctuations the performance shown may be higher or lower if converted into the
investors local currency.

Figure 2: Capability Levers for New Active Management

Return per Risk Lever
Expand Investment Universe


Asset Class / Sector

Active Share / Tracking Error

Risk Lever
Increase Risk Taking




Return per Risk Lever

Expand Strategy Set



Liquidity Profile





Return per Risk Lever

Expand Implementation Set

Short Term

Active Return

Company Research

130 / 30
Tracking Error

Two ways to react to lower returns per risk: Increase risk, or increase return per risk.
Source: CaseyQuik (2013); Allianz Global Investors

Furthermore, we have positioned our equity

portfolios to sit in the two sweet spots of
active equity management as highlighted by
Cremers & Petajisto [2010]:
The concentrated stock picker successfully
delivering high alpha
The diversified stock picker successfully
delivering stable alpha and high information ratio

Low volatility as the Global Financial Crisis

eases is one explanation for the headwinds
active managers are facing. Low volatility
has pushed down tracking errors and, consequently, active returns.
In addition, high correlation and the resulting
low dispersion of equity returns have taken
their toll on active managers as low dispersion
means that there is less to gain from picking
the right stocks.

Active Management

To make things more complicated, correlations after 2003 are significantly higher than
correlations before 2003. A possible explanation for todays greater correlations may be
found in the increase of institutionalisation
of the asset management business i. e., the
use of commonly accepted sector definitions,
common risk models, common cap-weighted
benchmarks, and, in particular, the rise of
indexing. This homogenisation of investor
practice has led to a loss of diversity in stock
behaviour and hence to an increase in correlations.
As a result, although the relatively high level
of correlations may not only be a cyclical
phenomenon, correlations can be secularly
higher due to the rise of institutionalisation.

How to react?
If past levels of portfolio activity and portfolio
risk deliver only compressed alphas instead
of the ample alphas of the past, we see two
principal ways to deal with this challenge:
Increase the level of risk
Increase the return per unit of risk
The following chapters will provide a detailed
discussion of these two levers for enhancing
the proceeds from active management and
derive applicable practical implications for
day-to-day portfolio management.

How to increase the level of risk

The tracking error of a portfolio is the traditional measure used to gauge the level of
portfolio activity. However, there are some
weaknesses with this concept. The tracking error of a portfolio depends not only on
the active decisions made by the portfolio
manager, but also on the overall level of market volatility and the average correlation of
returns. As a result, the same level of active
decisions in a portfolio can translate into very
different tracking errors depending on overall
market volatility and correlations.

Measuring activity in a portfolio

with active share
Active share is an alternative measure to
gauge how active a portfolio manager really
is. It directly measures the degree of stock
picking activity in a portfolio as it is calculated
as the sum of all positive active single stock
weightings. This measure makes it possible to
quantify the level of stock picking activity in
a portfolio without any inference from market volatility and stock correlations. The flip
side of this approach is that the active share
measure cannot reveal how diversified or how
undiversified these stock picks are.

Figure 3: Active Share matters.

Relative Performance of US Equity Funds
by Active Share

Relative Performance of US Equity Funds

by Tracking Error

Relative Performance

Relative Performance








Quintiles of active share



Quintiles of tracking error

Source: Cremers & Petajisto [2013], Data from 1/1990 12/2009, Allianz Global Investors
Past performance is not a reliable indicator of future results.

Empirically, there is evidence that investors

who are seeking to raise the active profile of
their portfolios should as a first step look
at increasing active share rather than at
increasing tracking error.

of empirical evidence demonstrating that

portfolio managers have stock picking skills.
Wermers [2000], for instance, used a
holdings-based performance analysis
of US mutual funds and showed that
active managers indeed have stock picking
skills the stock holdings of mutual funds
outperformed the market by 1.3 %.2
Similarly, Coggin, Fabozzi and Rahman
[1993] showed that managers of US
pension funds do earn a positive stockselection alpha.3
Both Cohen, Polk and Silli [2010]4 and
Jiang, Verbeek and Wang [2013]5 found
that a portfolio of the most prominent
high-conviction ideas from mutual funds
outperform the market by 1 % to 4 %
percent per quarter.
Chen, Jegadeesh and Wermers [2000]6
found that funds, on aggregate, tend to
buy stocks that subsequently outperform
the stocks they sell by 2 % per year,
adjusted for the characteristics of these

But then as a second step high-alpha

products also need to increase tracking error
further, while high information-ratio products
should go for moderate-tracking-error, highactive-share solutions.
Cremers & Petajistos [2009] work showed
that based on data of US equity mutual
funds from 1980 to 2003 as well as their
benchmark indices1 empirically higher
active share means higher returns. However,
the same does not hold true for the tracking
error per se.

Higher active share translates

into higher returns
Cremers & Petajistos [2009] observation
higher active share means higher return is
well supported by a number of other studies.

Concentrated stock pickers

and diversified stock pickers

High active share is indicative of a high

degree of stock picking activity. As Cremers
& Petajistos [2009] analysis showed, active
stock pickers exhibit the highest active share
and are the most likely to outperform their
benchmarks. This can be supported by a body

Wermers used quarterly

portfolio holdings for all US
equity mutual funds existing
between January 1975 and
December 1994 from the
CDA Investment Technologies
database and merged this
data with an additional data
set from CSRP which includes
monthly data on net returns,
annual data on portfolio
turnover, expense ratios for
all US mutual funds existing
between January 1962 and
December 1997.

Their study used monthly

returns for the period of January 1983 through December
1990 for a random sample of
71 U.S equity pension fund

Cremers & Petajisto [2009] also analysed the

interaction of active share and tracking error,
concluding that there are two sweet spots for
active equity managers.

The analysis used sample

data of US equity funds from
January 1991 to December
2005 from Thomson Reuters,
stock return data comes from
CRSP and covers assets traded

Figure 4: Two Sweet Spots for Active Management

Relative Performance of US Equity Funds as a Function of Tracking Error and Active Share

Cremers & Petajistos analysis used daily data on mutual

fund returns and monthly
returns on benchmark indices
from 1980 to 2003. Portfolio
composition of mutual funds
is based on the CDA/Spectrum mutual fund holding
database. 19 indices are
used as benchmarks for the
funds: S&P500, S&P500/Barra
Growth, S&P500/Barra Value,
S&P MidCap 400, S&P SmallCap 600. Russell 1000, Russell
2000, Russell 3000, Russel
Midcap indices and the value
and growth components of
each, as well as the Wilshire
5000 and the Wilshire 4500.

Tracking Error Quintile




1.9 %

1.7 %

3.3 %

3.0 %

3.6 %

2.2 %

2.0 %

1.6 %

0.6 %

1.1 %

2.0 %

1.4 %

0.9 %

1.1 %

0.0 %

0.6 %

0.8 %

0.5 %

0.3 %

1.3 %

Based on combined data for

the period 1984-2008 from
CRSP US Mutual Fund Database and the CDA/Spectrum
Mutual Fund Holdings Database from Thomson Financial.
Analysis only includes active
mutual funds that invest
primarily in U.S equity funds.
Monthly return data for stocks
traded on the NADAQ, AMEX,
NYSE are from CRSP.


0.1 %

0.4 %

0.4 %

0.2 %

0.8 %

Diversified Stock Picker

Concentrated Stock Picker

Source: Cremers & Petajisto [2009], Data from 19902003, Allianz Global Investors
Past performance is not a reliable indicator of future results.

Mutual fund holdings data is

based on quarterly stockholdings data for all existing US
mutual funds between 1975
and 1995 from the CDA
database. These funds hold
and trade stocks listed on the

Active Management

Tests examined the

performance of 116 openend mutual funds using
monthly data from February 1968 to June 1980. The
return data was obtained
from Standard & Poors.

Data used consists of

quarterly equity holdings of
all equity mutual funds that
existed between December 1974 and December
1994 provided by CDA
Investment Technologies.

Analysis is based on
monthly observations of
360 U.K. pension funds
from 1986 to 1994 provided by the WM company.

First, there are the concentrated stock pickers. Their portfolios are characterised by a
very high level of active share that reflects
their high level of stock picking activity.
Their portfolios are also characterised by a
higher tracking error that reflects their more
concentrated approach to stock selection
because high-active-share, high-trackingerror portfolios are concentrated stock picking
portfolios that target high alphas either in a
benchmark-relative core equity setting or in a
benchmark-agnostic unconstrained setting.

Cremers & Petajistos analysis of US mutual

fund returns from the period of 1990 2003
also highlights a weak spot for active managers, which is characterised by low active share,
but high tracking error. This is a typical setting
for market timing strategies as low or high
beta portfolios can be constructed with relatively low active share, but will usually have a
high tracking error. The poor performance of
low-active-share, high-tracking-error portfolios therefore reflects the poor empirical track
record of market-timing strategies.

And there is also a second sweet spot, the

diversified stock picking approach. While the
level of stock picking activity as measured by
active share is quite similar for diversified as
well as for concentrated stock pickers active
share is only moderately lower for diversified
stock pickers both approaches differ in the
degree of diversification of single stock picks.

Henriksson [1984]7; Coggin, Fabozzi and

Rahman [1993]; Daniel, et al. [1997]8; and
Blake, Lehmann and Timmermann [1999]9 all
found that fund managers were hardly able to
demonstrate market-timing capability10.

Diversified stock pickers take a much more

diversified approach to stock selection and
build portfolios with a high level of active
share, but a relatively lower tracking error.
These portfolios being lower tracking-error
portfolios target stable alpha, not necessarily the highest possible alpha, whereas
concentrated stock pickers explicitly target
the highest alpha.

What is the optimal level of portfolio concentration?

Please note that there

is no guarantee that the
implementation of any
investment strategy will
produce positive results.
During different market
conditions, different strategies will perform better.

How concentrated should

concentrated stock pickers be?

Generally, the higher the level of portfolio

concentration is, the higher the expected
return will be for a skilful manager. Of
course, if portfolio concentration is pushed
too far, portfolio volatility will spike at some
stage. However, a number of papers have

Figure 5: Number of Stocks Required to Achieve a 90 % Reduction of the Idiosyncratic Risk

Number of stocks





average number of stocks to reach the risk reduction on average

average number of stocks to reach the risk reduction with 90 % certainty
Source: Alexeev, V. & Tapon, F. (2013)




shown that noticeable diversification benefits

can already be achieved by owning as few as
20 to 30 stocks. But looking at the average volatility of concentrated portfolios disguises the
fact that the realised volatility of an individual
20-to-30-stock portfolio can be much higher.
More stocks are therefore needed to reliably
reduce the portfolio volatility. The chart below
demonstrates that forthe US that although it
takes about 20 to 30 stocks to reduce volatility
on average, it actually takes 40 to 60 stocks to
reduce volatility reliably.
Therefore, the optimum level of portfolio concentration for concentrated stock pickers will
be in a range of 20 to 60 names, depending
on how important it is to reliably reduce the
diversifiable risk. There is no point for concentrated stock pickers to go beyond 60 stocks.11

Cremers & Petajistos notion of

a stock picker vs. stock picker in
factor-risk models
Cremers & Petajistos work measures stock
picking activity in quite a different way than a
factor-based risk model would. Stock pickers
as defined by Cremers & Petajisto are characterised by a high level of active share, whereas
stock pickers in a risk model are characterised by a high level of idiosyncratic risk. As a
result, stock pickers as defined by Cremers &
Petajisto simply take a high number of bets in
their preferred stocks, irrespective of region,
sector or investment-style constraints.

Stock picking in a factor-risk model is pretty

much the opposite of just picking preferred
stocks irrespective of region, sector or investment-style constraints.
It means picking the stocks one likes while at
the same time making sure to broadly match
the major factor risks of the benchmark, like
regions, sectors or investment styles otherwise the resulting portfolio would load up
too much factor risk to be classified as a stock
picking portfolio any longer. Stock picking in
the sense of a factor-risk model is a rather
narrow term that allows for stock picking only
in a rather constrained peer-to-peer comparison and does not introduce strong biases with
respect to the risk factors of the risk model.

Based on daily return

data from 1975 to 2011 on
common stocks listed on
the NYSE-AMEX, the NASDAQ, the London, Tokyo,
Toronto and Australian
stock exchanges.

As such, many investors that consider themselves stock pickers are not stock pickers in
the narrow sense of factor risks models, but
are stock pickers as defined by Cremers &
Petajisto. The latter definition of a stock picker
clearly matches much better what investors
intuitively classify as a stock picker. In addition, this definition has a strong empirical
backing as a successful investment approach.
We therefore believe that this is the more
appropriate concept of stock picking.

Active Management

How to increase the return per

unit of risk diligently
The last section on the risk lever argued that
investors can diligently increase the level
of risk taking in their portfolios to counter
the alpha erosion that low levels of market
volatility and high levels of individual stock
correlation have resulted in.
This section on the return-per-risk lever
outlines what investors can do to increase the
return per unit of risk or the information
ratio in their portfolios.
The fundamental law of active management
provides a quantitative assessment of the
information ratio that can be expected from
any investment process. The fundamental law
highlights that there are three levers
to increase the return per unit of risk:
The quality of return predictions
The breadth of strategies
The quality of implementation
Let us take a closer look at these three drivers.

1. Quality of return predictions

First and most obviously, the quality of return
predictions is crucial. The world never stands
still, so equity managers need to constantly
challenge their stock picking process and
improve their stock picking skills both in
terms of directional accuracy and stability over time. Accuracy may be increased
by deepening the research into well-known
companies or by taking up coverage of lesswell-researched small-cap names.
Allianz Global Investors has significantly
increased its research coverage in recent
years from about 1,000 to some 2,000 stocks
in order to improve the quality of return
predictions. It has been well documented in
academic research that there are higher stock
selection opportunities within the small-cap
segment, especially when stocks are underresearched with low analyst coverage.
At the same time, we have increased the
focus on picking high-conviction ideas by
introducing a more focused vote distribution
system, which we call 80 20.

Figure 6: Fundamental Law of Active Management



Information Ratio Quality of Return Predictions Breadth of Strategies Quality of Implementation

Information Coefficient


IC: Information Coefficient, measures the quality of the return predictions
BR: Breadth, the number of independent predictions
TC: Transfer Coefficient, measures how accurate forecast are translated into portfolio weights

Source: Clarke R. & Thorley S. (2002)


Transfer Coefficient

Figure 7: Exploring the Full Market Capitalization Range of Global Equities

Allianz Global Investors has Expanded Research Coverage






















Smaller Caps under Coverage (rhs)

Stocks under Coverage (lhs)
Source: Allianz Global Investors, Smaller Caps are defined as stocks with market cap < 3bn EUR and above 250 mn EUR
Date as of December 2013

We introduced this in 2011 in order to better

align analyst effort with the requirements of
long-only investors. The new approach has
narrowed down the number of buy recommendations to 20 % in order to focus research
activities much more on stocks with the most
potential upside and performance expectations. These stocks require deeper coverage,
and the analyst will have an extensive understanding and closer following of these names
along with greater interest in their success.

Portfolio risk has traditionally been determined by relative volatility and potential
deviation from a benchmark. As portfolios
become more concentrated and more differentiated from the benchmark, this exercise
becomes less useful. We look instead at
permanent loss of capital from operational,
financial or valuation risk. This heightened
awareness of absolute risk consequently leads
to a more intensive analysis of the intrinsic
quality of a business.

At the same time, the number of neutral votes

has been restricted to 15 % to ensure a truly
active mindset in research. A stock can only
remain at a neutral vote for a limited time
period while the analyst determines the next
move up or down. This mirrors the move to
concentrate portfolios to a smaller number of
higher-conviction names.

We assign a quality vote to each company

in our research universe. The quality vote is
broken down into three sub categories:

The introduction of a quality vote in 2010 was

a landmark step in aligning Allianz Global
Investorss company research with the need
for more concentrated, unconstrained portfolios. The natural result of increasing share in
the portfolios is to reduce the dependence on
the benchmark, ultimately leading to a more
unconstrained approach. This results in a different view of risk and a heightened emphasis
on quality.

Competitive Positioning Vote, which

analyses the traditional Porter Five Forces,
including barriers to entry, substitution,
power with suppliers, regulation, new
entrants etc.
Governance and Management Quality Vote
Sustainability Vote, which focuses on the
intrinsic appeal of a business and tends to
be longer term as it is not affected by valuation considerations


Active Management

Ding derived a generalized version of the

fundamental law of active
management. For his
analysis he used data from
the Russel 1000, 2000
and 3000 universes from
December 1978 till August

Return data for the study

is obtained from the Morningstar database, which
covers monthly returns for
all global equity funds that
existed between January
1995 and December 2007.

Clark et al employed the

Barra portfolio optimizing
software and an S&P500
benchmark to perform
their analysis.

But improving the quality of return predictions does not mean dealing only with the
level of IC. Improving the stability of ICs is as
important as enhancing the level of ICs. As the
research by Ding [2010] shows for broadly
diversified portfolios, reducing the volatility of
ICs by 50 % has the same effect on the information ratio of a portfolio as doubling the
level of ICs.12 Increasing the stability over time
is very much interlinked with increasing the
breadth of strategies that return predictions
are based on.
2. Breadth of strategies
Secondly, a larger breadth in implementation is rewarded. In the context of the fundamental law of active management, breadth
refers to the number of independent bets in
a portfolio per year. It is not just the number
of active positions in a portfolio, but also the
independence of bets that is crucial.
The breadth can be increased in a number
of ways that are interrelated, such as:
Increasing the breadth of investment
Increasing the diversity of single stock
Increasing the breadth of investment
It is beneficial to the risk-adjusted performance of an investment product if the
manager adds additional sources of alpha to
the process, even if those sources are small
in comparison to the major source of alpha
of the fund. Multi-strategy funds beat singlestrategy funds, as academic studies like Huij
and Derwall [2009] show.13
We at Allianz Global Investors firmly believe in
the superiority of multi-strategy approaches
over single-strategy approaches. This is why
we explore a range of investment strategies in
our portfolios.
Increasing the diversity of single-stock
Increasing the breadth of a portfolio means
increasing the number of independent bets,
not just increasing the number of bets. It is
therefore important to make sure that single
stock positions are diverse and do not load up


Figure 8: Allianz Global Investors Explores

A Range of Investment Strategies





Company Research

Source: Allianz Global Investors,

Casey Quirk, The Complete Firm 2013: Competing for the
21st Century Investor, February 2013

on just one factor, like high quality or deep

value. An investment style grid can help to
improve diversity of single stock positions as
it makes sure that stock picks are distributed
along important risk dimensions and are not
clustered alongside one risk dimension only.
3. Quality of implementation
Finally, the quality of implementation can
make a huge difference. The transfer coefficient TC measures the quality of implementation as the correlation between the
return prediction and the active weights in
a portfolio. A high quality implementation
would therefore be an implementation where
active portfolio weights closely follow return
Typical constraints in portfolio construction,
like constraints on country or sector deviations from the benchmark or on the allocation
of large caps vs. small caps, are often a source
of implementation shortfall.
If the return predictions themselves are
unconstrained and not country / sector / sizeneutral, any constraints on these exposures
will hinder portfolio weights to follow return
predictions, which can produce an implementation shortfall. The research by Clark et al
[2002] confirms this.14

Figure 9: The Case for Unconstrained Portfolios Constraints Can Hinder Active Weights in
Following Forecasts
Ideally, active weigths should closely follow forecasted return
transfer coefficient 0.98

Active Weights

1 %
2 %
3 %

stocks of the investment universe

sorted by forecasted return


but constraints hinder active weights in following forecasts


Active Weights

transfer coefficient 0.31


1 %
2 %

stocks of the investment universe

sorted by forecasted return


Higher transfer coefficients through long/short and unconstrained portfolio construction

Source: Clarke R. & Thorley S. (2002)

Figure 10: The Case for Unconstrained Portfolios Constraints Can Hinder Active Weights
in Following Forecasts
Transfer coefficients for different implemenations of a forecast




market cap neutral

multiple constraints

Source: Clarke R. & Thorley S. (2002)


Active Management

Alexeev, V. and Tapon, F. (2013) Equity
portfolio diversification: How many stocks
are enough? Evidence from five developed
Blake, Lehmann and Timmermann (1999),
Asset allocation dynamics and pension
fund performance, Journal of Business, 72,
Casey Quirk, 2013, Life After Benchmarks:
Retooling Active Asset Management
Clarke R., de Silva, H. and Thorley, S. (2002),
Portfolio constraints and the fundamental
law of active management, Financial Analysts Journal, 58 (5), pp 4866
Cohen, R. B. and Polk, C. and Silli, B., (March
15, 2010), Best Ideas. Available at SSRN: or
Coggin, T. D., Fabozzi, F. J. and Rahman, S.
(1993), The Investment Performance of US
Equity Pension Fund Managers: An Empirical
Investigation. The Journal of Finance 48,
pp 10391055
Cremers, M. and Petajisto, A. (2009), How
Active is Your Fund Manager? A New Measure That Predicts Performance, AFA 2007
Chicago Meetings Paper; EFA 2007 Ljubljana
Meetings Paper; Yale ICF Working Paper No.
06 14
Daniel, K., Grinblatt, M., Titman, S., and
Wermers, R. (1997), Measuring Mutual
Fund Performance with Characteristic-Based
Benchmarks, Journal of Finance, Vol. 52,
Issue 3, pp. 1035 1058


Ding, Z. (2010), The Fundamental Law of

Active Management: Time Series Dynamics
and Cross-Sectional Properties
Henriksson, R. D., (1984), Market Timing
and Mutual Fund Performance: An Empirical
Investigation, The Journal of Business, Vol.
57, No. 1, Part 1, pp 7396
Huij, J. and Derwall, J. (2009), Global Equity
Fund Performance, Portfolio Concentration,
and the Fundamental Law of Active Management, Journal of Banking and Finance,
Vol. 35, 2011. Available at SSRN: or
Jegadeesh, N., Chen, H.-L. and Wermers, R.
(2000), The Value of Active Mutual Fund
Management: An Examination of the Stockholdings and Trades of Fund Managers. Journal of Financial and Quantitative Analysis 35,
pp 343368
Jiang, H. and Verbeek, M. and Wang, Y.,
(August 2013), Information Content When
Mutual Funds Deviate from Benchmarks. AFA
2012 Chicago Meetings Paper. Available at
SSRN: or
Otten, R. and Bams, D. (2004), How to Measure Mutual Fund Performance: Economic
Versus Statistical Relevance, Accounting and
Finance, Vol. 44, No. 2, pp 203222. Available
at SSRN:
Wermers, R. (2000), Mutual Fund Performance: An Empirical Decomposition into
Stock-Picking Talent, Style, Transactions Costs,
and Expenses. The Journal of Finance 55,
pp 16551703

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