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Active management success depends on large-cap relative performance and market volatility. The magnitude and direction of market volatility are pivotal in the active-passive debate. Increasing market volatility amplifies the small-cap penalty, whereas decreasing volatility enhances stock selection opportunities.Journal of Asset Management (2001) 1, 374–379; doi:10.1057/palgrave.jam.2240028
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Document Type: Research Article

Affiliations: 1: 1Morgan Stanley Dean Witter, Quantitative Strategies, 1221 Avenue of the Americas, New York, NY, 10020, USA., Tel: +212 762 4787, Fax: +212 762 9425, Email: [email protected] 2: 2associate portfolio manager at Goldman Sachs Asset Management in their Quantitative Equities Division

Publication date: 01 April 2001

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