Active Versus Passive Investing: Evidence From The 2009-2017 Market

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.