Date of Award
Spring 5-2026
Language
English
Document Type
Honors Thesis
Degree Name
Bachelor of Arts
Department
Business
Advisor/Committee Chair
David Smith
Abstract
This thesis examines how U.S. equity market concentration affects investment performance. Using CRSP data from 1999 to 2024, we construct monthly concentration measures, including the Herfindahl-Hirschman Index (HHI), the adjusted HHI, the Top 20 market share, and each month’s expanding-window concentration quintiles. We document subsequent stock returns by quintile and find weak evidence of higher stock performance in Quintile 3 conditions. A second part of the analysis uses Morningstar’s universe of actively managed U.S. equity funds to evaluate benchmark-adjusted returns (BARs) across the full equity style box. The results show that active managers deliver their highest BARs in moderate concentration regimes (Quintile 3), with small-cap growth a notable exception (Quintile 4). A concentration-conditioned switching strategy between passive and active approaches never underperforms always-active or always-passive approaches. These findings demonstrate that market concentration is a key determinant of investment performance.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Recommended Citation
Urquiaga, Matthew, "The Concentration Controversy" (2026). Business/Business Administration. 71.
https://scholarsarchive.library.albany.edu/honorscollege_business/71