Financial Analyst Journal, Volume 72, Issue 4, 2016

管理设计对基金投资组合集中度和绩效的影响

作者：Eitan Goldman (Indiana University)

Zhenzhen Sun(Siena College)

Xiyu (Thomas) Zhou(University of Alaska)

摘要：我们发现，当投资组合集中在每一个行业的前一个或两个股票时，积极管理的股票型共同基金的业绩会增加。单一经理人管理的基金投资组合更集中，表现更好，但其费用比率要高于由多个经理人管理的基金。我们观察到，当一个基金的管理设计从单一管理者转变为多个管理者时，投资组合的内部和跨部门的集中度、绩效和费用比率会降低。

The Effect of Management Design on the Portfolio Concentration and Performance of Mutual Funds

Eitan Goldman (Indiana University), Zhenzhen Sun(Siena College), Xiyu (Thomas) Zhou(University of Alaska)

ABSTRACT

We show that the performance of actively managed equity mutual funds increases when portfolios are concentrated in the top one or two stocks within each industry sector. Funds managed by a single manager have much more concentrated portfolios, tend to perform better, and have higher expense ratios than funds managed by multiple managers. We observe that when a fund’s management design is changed from single manager to multiple managers, the portfolio’s within- and cross-sector concentration, performance, and expense ratios decrease.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v72.n4.9

翻译：秦秀婷