CRITICAL FINANCE REVIEW · Forthcoming· 2018

条件基准和共同基金业绩的预测指标

作者：Scott Cederburg (University of Arizona)

Michael S. O’Doherty (University of Missouri)

N. E. Savin (University of Iowa)

Ashish Tiwari (University of Iowa)

摘要：最近的研究将共同基金业绩链接到主动管理的测度上，并且常常通过将投资组合按照特征分组，然后验证各组合之间存在较大无条件阿尔法差异来证明主动管理。然而，对于那些有较大换手率和不稳定因子敞口的基金，无条件基准会对其管理技能的评价产生误导性的干扰。我们提出的业绩归因模型将投资组合的投资风格的可预测性变化纳入考虑。相比现存其他方法，我们的基准能产生更好的跟踪业绩和统计意义上更有力的异常收益率评估。我们用此方法重新评估了其他六种测度主动管理的代理变量，得出这些测度方法与管理能力高度不相关。

Conditional Benchmarks and Predictors of Mutual Fund Performance

Scott Cederburg (University of Arizona), Michael S. O’Doherty (University of Missouri), N. E. Savin (University of Iowa), Ashish Tiwari (University of Iowa)

ABSTRACT

Recent studies link mutual fund performance to measures of active management, and this evidence often takes the form of large spreads in unconditional alphas for characteristic-sorted portfolios. Unconditional benchmarks can, however, produce misleading inferences on managerial skill for strategies that exhibit substantial turnover and unstable factor exposures. We propose a performance attribution model that accounts for predictable changes in portfolio style. Compared to existing methods, our benchmarks yield superior tracking performance and a more powerful statistical assessment of abnormal returns. We reevaluate six active management proxies using our method and conclude that these measures are largely unrelated to managerial ability.

原文链接：

http://cfr.ivo-welch.info/readers/2018/cederburg-odoherty-savin-tiwari-2018.pdf

翻译：吴雨玲