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Welcome to the 2017 AFS Annual Meeing, being held this year, in conjunction with FPA in Nashville!
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Sunday, October 1 • 4:30pm - 6:00pm
P06 Are Separately Managed Accounts Efficient Investments? A comparison study with ETFs

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We examined a large sample of equity SMAs and CITs (Combined separate accounts, hereafter) from 2000 to 2016. We found that combined separate accounts have much higher expenses than ETFs and do not consistently outperform ETFs in terms of gross return and net return. However, we found that combined separate accounts consistently outperform ETFs in terms of risk-adjusted gross and net return across using Fama-French 3 factor model. Additionally, we found no significant evidence that tax is proactively managed within combined separate accounts. Lastly, we found that SMAs’ performance didn't persist and outperformance of SMAs do not consistently over time.

Author(s): Xianwu Zhang, Tao Guo, Yuanshan Cheng, Ph.D., Harold Evensky, BCE, MS

avatar for Xianwu (Sean) Zhang

Xianwu (Sean) Zhang

Research Assistant, Texas Tech University
I am a Ph.D. student in PFP in Texas Tech University. I have a master in finance and statistics. I pass CFA II in June 2016. My research topics are factor investing, mutual fund, SMA and retirement.

Sunday October 1, 2017 4:30pm - 6:00pm
Cumberland 1-2