Settling the active-passive debate empirically: what evidence is needed to detect outperformance?

Alex Adamou

LML Resident Fellow

For a given level of outperformance, we ask how long must we wait before we can distinguish statistically the performance of an active fund from a passive benchmark. We will explore this question using a very simple mathematical model. The answers will shed light on whether we can detect “skill” from randomness, and whether performance-based fees can be justified empirically.

Location

Dimensional Fund Advisors, 20 Triton Street, Regent’s Place, London, NW1 3BF

Date & Time

Wednesday 8th February from 9.30am – 5.00pm