In the 2018 Active Management Environment we continued to work towards a more comprehensive understanding of active manager behavior, and ways of using this knowledge to improve investment decision-making. Highlights of this year’s edition include:
- Our research indicates that active manager volatility relative to the benchmark tends to be persistent, on average, while active manager returns and risk-adjusted returns tend not to be persistent.
- If active manager relative volatility tends to be persistent, how might we use this information to generate better outcomes?
- Lower relative volatility active managers have consistently delivered superior risk-adjusted returns in past decades. This finding may have implications for active manager selection for risk-conscious investors, and may also affect asset allocation decisions more broadly.
- In 2018 the Verus research team will research these topics further and seek ways to integrate the findings into our approach to asset allocation and active manager selection.
These improvements and insights have allowed us to better understand product behavior and may allow for more informed selection in the future. The Active Management Environment and more detailed information can be found by following the download link below.
We look forward to discussing this research with you.