Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Does Active Management Provide Investor Surplus?

Brian J. Jacobsen
The Journal of Portfolio Management Fall 2011, 38 (1) 131-139; DOI: https://doi.org/10.3905/jpm.2011.38.1.131
Brian J. Jacobsen
is the chief portfolio strategist at Wells Fargo Funds Management, LLC, in Menomonee Falls, WI.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: brian.jacobsen@wellsfargo.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

A consumer experiences consumer surplus when she pays less than her reservation price for a product. Similarly, an investor experiences investor surplus when he would be willing to pay more than the charge to invest in a particular instrument or portfolio. Typically, a portfolio manager generates investor surplus by delivering alpha. Jacobsen formally shows in this article that a portfolio manager can also generate investor surplus by having asymmetric betas, that is, when the beta in up markets is different than the beta in down markets. Because no one forces investors to buy active management, they must perceive benefits that exceed the cost. Some of these benefits (custody, diversification, accounting, partial share ownership) are also available from passive strategies; others (expected differences in up and down market betas, alphas, optionality, cocktail party conversation) are only available from active management.

TOPICS: Portfolio management/multi-asset allocation, risk management, manager selection

  • © 2011 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 38 (1)
The Journal of Portfolio Management
Vol. 38, Issue 1
Fall 2011
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Does Active Management Provide Investor Surplus?
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Does Active Management Provide Investor Surplus?
Brian J. Jacobsen
The Journal of Portfolio Management Oct 2011, 38 (1) 131-139; DOI: 10.3905/jpm.2011.38.1.131

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Does Active Management Provide Investor Surplus?
Brian J. Jacobsen
The Journal of Portfolio Management Oct 2011, 38 (1) 131-139; DOI: 10.3905/jpm.2011.38.1.131
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • AN INDEX VERSUS A BENCHMARK
    • PROBLEMS WITH PASSIVE INVESTING
    • THE VALUE OF ACTIVE PORTFOLIO MANAGEMENT
    • FRAMEWORK FOR MEASURING INVESTOR SURPLUS
    • AN EXAMPLE
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • The Alpha, Beta, and Sigma of ESG: Better Beta, Additional Alpha?
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies