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The Journal of Portfolio Management

The Journal of Portfolio Management

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Article

The Impact of Market Conditions on Active Equity Management

Harsh Parikh, Karen McQuiston and Sujian Zhi
The Journal of Portfolio Management Winter 2018, 44 (3) 89-101; DOI: https://doi.org/10.3905/jpm.2018.44.3.089
Harsh Parikh
is a principal in Institutional Advisory & Solutions at PGIM in Newark, NJ. harsh.parikh@pgim.com
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Karen McQuiston
is a managing director in Institutional Advisory & Solutions at PGIM in Newark, NJ. karen.mcquiston@pgim.com
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Sujian Zhi
is a quantitative analyst at Huatai Securities in Shanghai, China. sujian.zhi@nyu.edu
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Abstract

Since the financial crisis, investors have enjoyed generally benign conditions, with subdued volatility and strong markets-but active equity managers have remained under pressure. Yet this should not be surprising; history has shown a strong pattern of counter-cyclicality in manager excess returns relative to the equity market. In this study, the authors take a close look at the relationship between equity market conditions (defined by market returns, volatility, and dispersion) and active equity manager results. Focusing on the U.S. large cap space, they analyze over 20 years of manager and market data to determine which set of conditions are associated with more or less favorable results for active equity managers.

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The Journal of Portfolio Management: 44 (3)
The Journal of Portfolio Management
Vol. 44, Issue 3
Winter 2018
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The Impact of Market Conditions on Active Equity Management
Harsh Parikh, Karen McQuiston, Sujian Zhi
The Journal of Portfolio Management Jan 2018, 44 (3) 89-101; DOI: 10.3905/jpm.2018.44.3.089

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The Impact of Market Conditions on Active Equity Management
Harsh Parikh, Karen McQuiston, Sujian Zhi
The Journal of Portfolio Management Jan 2018, 44 (3) 89-101; DOI: 10.3905/jpm.2018.44.3.089
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  • Article
    • Abstract
    • HISTORICAL PERSPECTIVE ON MARKET CONDITIONS
    • CHARACTERIZING THE MARKET/MANAGER RELATIONSHIP
    • IMPLICATIONS FOR PORTFOLIO CONSTRUCTION
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCE
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  • Predicting Stock Market Crashes in China
  • Academic, Practitioner, and Investor Perspectives on Factor Investing
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