The Impact of Market Conditions on Active Equity Management

摘要

In The Impact of Market Conditions on Active Equity Management, from the Winter 2018 edition of The Journal of Portfolio Management, authors Harsh Parikh of PGIM, Karen McQuiston of BlackRock, and Sujian Zhi of Huatai Securities analyze the performance of active equity management approaches relative to a trio of measures of "market conditions": (1) dispersion of returns across equities during a given period, (2) volatility of overall market returns over time, and (3) the overall level of market returns. The authors' goal is to help investors meet their objectives through portfolio constructions suited to variations in those conditions. The authors explore how, between 1996 and 2016, the excess returns delivered by active equity managers—both quantitative and fundamental—have fared in response to different market environments.