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Politics : Ask Michael Burke -- Ignore unavailable to you. Want to Upgrade?

To: BGR who wrote (54904)	4/7/1999 11:56:00 AM
From: Michael Bakunin	Respond to of 132070

I can't find the cite, alas, but the article of which I'm thinking addressed professional managers' procilivity, in the aggregate, to overweight smaller companies. Said study suggested that this was a carryover from a long period of small company outperformance, true through the mid-'80s -- remember the 'small company effect'? -- and that it explained most of recent underperformance. Fees accounted for much of the rest. Not that this study refutes your basic EMH/MPT assumptions; it rather supports them, by showing that the aggregate professional return is the market return. If professionals did underperform systematically, that would be as much a problem for those academic assumptions as if they outperformed systematically. -mb