Financial Analysts Journal· VOL73, NO.2·April/May2016.

主动投资比率和积极管理的三大支柱：技术，信念和机会

作者：Martijn Cremers (professor of finance at the University of Notre Dame, Indiana)

摘要：本文将主动投资比率与基金经理的个人选股技术、信念和机会联系在一起。作者提出了一个针对主动投资比率的新范式，该范式强调了与基准相比，主动投资比率只能通过重叠持有来减少。作者展示了为什么以及怎样调整主动投资比率水平下的费用比率以及投资基准的成本。作者得出结论主动投资比率对于积极管理的基金的表现是有影响的。投资者不应该为主动投资比率低的基金支付过多的费用，因为这些基金通常表现较差。但没有证据表明主动投资比率高的基金表现不佳，并且一般有耐心的基金管理人管理的高主动投资比率的基金都相当成功。

Active Share and the Three Pillars of Active Management: Skill, Conviction, and Opportunity

Martijn Cremers (professor of finance at the University of Notre Dame, Indiana)

ABSTRACT

This article relates Active Share to the fund manager’s individual stock-picking skill, conviction, and opportunity. I propose a new formula for Active Share that emphasizes that a fund’s Active Share is reduced only through overlapping holdings with its benchmark. I show why and how to adjust the expense ratio for the level of Active Share and the cost of investing in the benchmark. I conclude that Active Share matters for the performance of actively managed funds. Investors should not pay (too) much for low-Active Share funds, which generally underperform. But there is no evidence that high-Active Share funds as a group have underperformed, and patient managers with high Active Share have been quite successful.

原文链接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n2.4

翻译：赵胜旺