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Using data on $17 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 86 (42) basis points on a gross (net) basis during the period 2000-2012. These actively managed institutional accounts represented 29% of worldwide investable assets. For managing this capital, asset managers collected $162 billion in fees per year. Estimates from a Sharpe (1992) model imply that asset managers’ outperformance came from factor exposures. If institutions had instead implemented mean-variance efficient portfolios using index and institutional mutual funds available during the sample period, they would not have earned higher Sharpe ratios. Recent growth of the ETF market implies that asset managers are losing advantages held during our sample period.