Investment managers that believe to have skill must choose some fraction of stocks in a benchmark to hold. Recent theory predicts that the optimal percentage of holdings for a manager with skill is between 50% and 80% of the benchmark. This theory requires a number of assumptions. Using simulations, we relax some of the assumptions to examine if the theory still holds. We find that, for the most part, the theory holds when the assumptions are relaxed. We also extend the analysis from a one-period horizon to a multiperiod horizon using the actual returns of stocks in the S&P 500.

中文翻译：

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增强的索引和选择性理论

相信有技能的投资经理必须选择基准中的一小部分股票来持有。最近的理论预测，具有技能的经理的最佳持股比例在基准的 50% 到 80% 之间。这个理论需要一些假设。使用模拟，我们放宽了一些假设，以检验该理论是否仍然成立。我们发现，在大多数情况下，当假设放松时，该理论仍然成立。我们还使用标准普尔 500 指数中股票的实际回报率将分析从一个时期范围扩展到多时期范围。