JOURNAL OF ACCOUNTING AND FINANCE
Active Versus Passive Investing: Evidence from The 2009-2017 Market
Author(s): Dale Prondzinski, Mitchell Miller
Citation: Dale Prondzinski, Mitchell Miller, (2018) "Active Versus Passive Investing: Evidence from The 2009-2017 Market", Journal of Accounting and Finance, Vol. 18, ss. 8, pp. 119-143
Article Type: Research paper
Publisher: North American Business Press
Abstract:
The paper explores the research question: During the March 1, 2009 to December 31, 2017 time period, which investment management style, active or passive, produced the better risk-adjusted performance?
The study tested nine hypotheses, derived from the above research question for the period.
The Sharpe composite portfolio performance measure, that combines risk and return into a single value, was used to measure, analyze, and rank risk-adjusted performance.
The study, comprised of 9 statistical tests, found that on a risk-adjusted basis that the active indices
(proxies for active management) Sharpe ratios did not significantly exceed the passive indices (proxies
for passive management) Sharpe ratios for the period tested.