Identifying Characteristics to Predict Separately Managed Account Performance

摘要

The authors analyzed a large sample of domestic equity separately managed accounts over the 1991-2009 period and found evidence that manager skill persists. They also found that managers who were more active had better returns, and they documented a strong negative relationship between assets under management and future performance, even for large-cap strategies. Large cash inflows and a high number of accounts under management hindered subsequent performance for small-cap strategies.