Using data on $18 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 75 (31) bps on a gross (net) basis during the period 2000 to 2012. Estimates from a Sharpe model imply that asset managers' outperformance came from factor exposures. If institutions had instead implemented mean-variance efficient portfolios using index and institutional mutual funds available during the sample period, they would not have earned higher Sharpe ratios. Our results are consistent with the average asset manager having skill, managers competing for institutional capital, and institutions engaging in costly search to identify skilled managers.

中文翻译：

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资产管理公司：机构业绩和因子敞口

我们使用 18 万亿美元管理资产的数据表明，在 2000 年至 2012 年期间，主动管理的机构账户在总（净）基础上比策略基准高出 75 (31) 个基点。夏普模型的估计意味着资产管理公司的表现优异来自因子敞口。如果机构转而使用样本期间可用的指数和机构共同基金实施均值方差有效的投资组合，它们就不会获得更高的夏普比率。我们的结果与具有技能的普通资产经理、竞争机构资本的经理以及从事昂贵搜索以识别技能经理的机构一致。