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
Information
Event Details.
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