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Active or passive?

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Abstract

Active management success depends on large-cap relative performance and market volatility. The magnitude and direction of market volatility are pivotal in the active-passive debate. Increasing market volatility amplifies the small-cap penalty, whereas decreasing volatility enhances stock selection opportunities.

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Authors and Affiliations

  1. Morgan Stanley Dean Witter, Quantitative Strategies, 1221 Avenue of the Americas, New York, 10020, NY, USA

    J J Mezrich

  2. associate portfolio manager at Goldman Sachs Asset Management in their Quantitative Equities Division,

    M S Rothman

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  1. J J Mezrich
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  2. M S Rothman
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Mezrich, J., Rothman, M. Active or passive?. J Asset Manag 1, 374–379 (2001). https://doi.org/10.1057/palgrave.jam.2240028

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  • DOI: https://doi.org/10.1057/palgrave.jam.2240028

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