Journal of Banking & Finance · Vol.76 · MARCH 2017
积极管理的共同基金持有被动投资：关于共同基金能力，ETF头寸告诉我们什么？
作者：D. Eli Sherrill (College of Business, Illinois State University), Sara E. Shirley (Mario J. Gabelli School of Business, Roger Williams University), Jeffrey R. Stark (Ricciardi College of Business, Bridgewater State University)
摘要：我们首次对积极管理的共同基金（AMMF）投资组合中的交易型开放式指数基金（ETF）进行了深入的考察，以便更好地了解为什么AMMFs对被动ETFs进行大量投资。我们考察持有ETF头寸与AMMF业绩以及间接的绩效指标之间的关系，包括市场择时，流量管理和现金持有。我们发现，超过三分之一的AMMFs在2004年至2015年之间持有ETF头寸。通过使用各种绩效指标，我们的研究结果表明，在投资组合中持有较大头寸ETFs的AMMF表现将差0.41%到1.63%。这些AMMFs也表现出较差的市场择时，并持有更多的现金。相比之下，持有少量ETFs的AMMFs与非AMMFs用户具有相似的特征。因此，持有ETF的行为并不反映较差的能力，但是持有较大的ETF头寸则是一个能力较差的信号。
关键词：共同基金，业绩，交易所交易基金，投资组合管理
Actively managed mutual funds holding passive investments: What do ETF positions tell us about mutual fund ability?
D. Eli Sherrill (College of Business, Illinois State University), Sara E. Shirley (Mario J. Gabelli School of Business, Roger Williams University), Jeffrey R. Stark (Ricciardi College of Business, Bridgewater State University)
ABSTRACT
We provide the first in-depth examination of exchange-traded funds (ETFs) within actively managed mutual fund (AMMF) portfolios to better understand why AMMFs make substantial investments in passive ETFs. We examine the association between holding ETF positions and AMMF performance, as well as indirect measures of performance, including market timing, flow management, and cash holdings. We find that over one-third of AMMFs take an ETF position between 2004 and 2015. Our results indicate that AMMFs allocating large portions of their portfolio to ETFs perform worse, by between 0.41% and 1.63% annually using various performance measures. These AMMFs also exhibit worse market timing and hold more cash. In contrast, AMMFs that hold ETFs in small amounts have similar characteristics to non-user AMMFs. Therefore, the act of holding an ETF does not signal inferior ability, however, taking large ETF positions does
Keywords: Mutual fund, Performance, Exchange-traded fund, Portfolio management
原文链接：
http://www.sciencedirect.com/science/article/pii/S0378426616302412
翻译：贾梦悦
