THE REVIEW OF ASSET PRICING STUDIES · VOL. 5, NO. 2 · DECEMBER 2015

管理主动性与共同基金表现

作者：Hitesh Doshi (University of Houston) , Redouane Elkamhi (University of Toronto), Mikhail Simutin (University of Toronto)

摘要：一个“柜子基金”更有可能通过投资价值加权组合来实现价值加权投资基准。按照这种逻辑，本文介绍一个简单衡量主动管理程度的方法，即股票价值权重和基金实际持有权重之间的绝对差额的总和。该代理变量能够捕捉到基金的管理技术成分：主动型基金每年跑赢被动型基金2.5个百分点收益率。与已知的管理技术衡量方法相比，本文的代理变量稳健地预测了基金流动、资产增长、因素调整后的基金表现和价值增加。其预测能力与其他衡量方法的预测能力正交，并且在控制波动率择时、历史表现和投资风格后结果仍稳健。

关键词：共同基金表现，投资组合管理，主动管理型指数投资

Managerial Activeness and Mutual Fund Performance

Hitesh Doshi (University of Houston), Redouane Elkamhi (University of Toronto), Mikhail Simutin (University of Toronto)

ABSTRACT

A closet indexer is more likely to meet a value-weighted investment benchmark by value weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and actual weights held by a fund, summed across its holdings. This proxy captures managerial skill: active funds outperform passive ones by 2.5% annually. Compared with known measures of skill, our proxy robustly predicts fund flows, asset growth, factor-adjusted performance, and value added. Its predictive ability is orthogonal to that of other measures and is robust to controlling for volatility timing, past performance, and style.

Keywords: Mutual fund performance, Portfolio management, closet indexing

原文链接：https://academic.oup.com/raps/article/5/2/156/1609424/Managerial-Activeness-and-Mutual-Fund-Performance

翻译：景薇