The Journal of Portfolio Management, Vol. 44, Issue 3, Winter 2018

市场条件对主动股权管理的影响

作者：Harsh Parikh(Institutional Advisory & Solutions at PGIM in Newark, NJ.)

Karen McQuiston(Institutional Advisory & Solutions at PGIM in Newark, NJ.)

Sujian Zhi(Huatai Securities in Shanghai, China.)

摘要：自金融危机以来，投资者总体上处于良性状态，波动幅度较小，市场表现强劲,但主动股权经理人仍面临压力。然而，这并不令人意外，历史表明：相对于股市，基金经理人的超额回报具有强烈的反周期性。在这项研究中，作者仔细研究了股票市场状况（由市场收益，波动性和分散性定义）与主动股权经理人业绩之间的关系。关注美国大盘股空间，他们分析了20多年的经理人和市场数据，以确定哪些条件与主动股权经理人或多或少有利的结果相关联。

The Impact of Market Conditions on Active Equity Management

Harsh Parikh(Institutional Advisory & Solutions at PGIM in Newark, NJ.);Karen McQuiston(Institutional Advisory & Solutions at PGIM in Newark, NJ.);Sujian Zhi(Huatai Securities in Shanghai, China.)

ABSTRACT

Since the financial crisis, investors have enjoyed generally benign conditions, with subdued volatility and strong markets - but active equity managers have remained under pressure. Yet this should not be surprising; history has shown a strong pattern of counter-cyclicality in manager excess returns relative to the equity market. In this study, the authors take a close look at the relationship between equity market conditions (defined by market returns, volatility, and dispersion) and active equity manager results. Focusing on the US large cap space, they analyze over 20 years of manager and market data to determine which set of conditions are associated with more or less favorable results for active equity managers.

原文链接：

http://jpm.iijournals.com/content/early/2018/01/08/jpm.2017.2017.1.076

翻译：黄涛