Quotes by Gary Brinson

(82) "For the markets in total, the amount of value added, or alpha, must sum to zero. One person's positive alpha s someone else's negative alpha. Collectively, for the institutional, mutual fund, and private banking arenas, the aggregate alpha return will be zero or negative after transaction costs. Aggregate fees for the active managers should thus be, at most, the fees associated with passive management. Yet, these fees are several times larger than fees that would be associated with passive management. This illogical conundrum will ultimately have to end."
(83) "Approximately 94 percent of variability of a fund's investment return is due to asset allocation -- Study of 91 large pension funds over a 10-year period."
1986, 1990
- Determinants of Portfolio Performance," Financial Analysts Journal, July-August 1986, Follow-up study, "Revisiting Determinants of Portfolio Performance: An Update," 1990 Working Paper