Critical Finance Review, 2012, 2: 1–48

基准指数应该有阿尔法吗？再论业绩评估

作者：Martijn Cremers (University of Notre Dame), Antti Petajisto (New York University), Eric Zitzewitz (Dartmouth College and NBER)

摘要：即使对于例如标普500指数和罗素2000等被动基准指数，标准的Fama-French和 Carhart模型也产生了经济上和统计上都显著的非零阿尔法。我们发现这些阿尔法主要缘于Fama-French因子赋予了小市值股票很大的权重，而这些股票表现良好。这些阿尔法还来自于CRSP市值加权市场指数，由于其包括了其他类型的证券（如封闭式基金），成为了美国股市历史数据的偏低基准。我们提出对Fama-French因子进行方法性的略微改变来消除非零阿尔法，我们还提出了基于普通和可交易基准指数的因子模型。这两种替代模式都可以改善主动管理投资组合的业绩评估，其中基于指数的模型表现最佳。

关键词：Fama-French因子、阿尔法、业绩评估、基准指数

Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

Martijn Cremers (University of Notre Dame), Antti Petajisto (New York University), Eric Zitzewitz (Dartmouth College and NBER)

ABSTRACT

Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas primarily arise from the disproportionate weight that the Fama-French factors place on small value stocks, which have performed well, and from the CRSP value-weighted market index, which is historically a downward-biased benchmark for U.S. stocks due to the inclusion of other types of securities such as closed-end funds. We propose small methodological changes to the Fama-French factors to eliminate the nonzero alphas, and we also propose factor models based on common and tradable benchmark indices. Both kinds of alternative models improve performance evaluation of actively managed portfolios with the index-based models exhibiting the best performance.

Keywords: Fama-French factors, Alphas, Performance evaluation, Benchmark indices

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-007.pdf

翻译：任兆月