Critical Finance Review, 2017(Forthcoming)

当机会来敲门：横截面收益离散度与主动型基金业绩

作者：Anna von Reibnitz (Australian National University)

摘要：通过股票收益的横截面离散度来衡量的市场中主动管理的机会，对基金业绩存在显著的影响。在离散度较高的时期，即最为主动的基金产生的阿尔法收益显著超过其他月份的时期，主动型策略对收益的影响最大。最主动的基金相对于最被动的基金的超额收益也集中在离散度高的月份。因此，在产生超额收益方面，决定投资主动型基金的时机与决定投资哪些基金同等重要。基于离散度在主动型和被动型基金之间转换产生了显著的阿尔法收益，扣除费用后每年超过2.7％。本文通过将识别哪些基金经理拥有打败市场的最大潜力和洞悉什么时候市场最有利于创造超额收益结合起来，为理解主动型基金如何被用来产生价值增加了新的维度。

关键词：共同基金，收益的离散度，主动管理

When Opportunity Knocks: Cross-Sectional Return Dispersion and Active Fund Performance

Anna von Reibnitz (Australian National University)

ABSTRACT

Active opportunity in the market, measured by cross-sectional dispersion in stock returns, significantly influences fund performance. Active strategies have the greatest impact on returns during periods of high dispersion, when alpha produced by the most active funds significantly exceeds that produced in other months. The outperformance of the most relative to the least active funds is also concentrated in months of high dispersion. Deciding when to invest in active funds, therefore, can be as important to generating outperformance as deciding which funds to invest in. Switching between highly active and passive funds based on dispersion produces significant alpha of over 2.7% p.a. after fees. This paper adds a new dimension to understanding how active funds can be used to generate value, by combining identification of which managers have the greatest potential to outperform the market with insight into when the market is most conducive to outperformance.

Keywords: Mutual funds; return dispersion; active management

原文链接：http://cfr.ivo-welch.info/readers/2017/reibnitz.pdf

翻译：任兆月