Financial Analysts Journal· VOL72,NO.2· March/April 2016.

管理设计对投资组合集中度和共同基金表现的影响

作者：Eitan Goldman (Kelley School of Business, Indiana University), Zhenzhen Sun (School of Business, Siena College), Xiyu (Thomas) Zhou (School of Management, University of Alaska)

摘要：我们发现当投资组合集中在每个行业领域中领先的一两个股票时，采取积极管理的共同基金表现会有所增强。由单一经理管理的基金具有更集中的投资组合，倾向于表现更好，并且具有比由多个管理者管理的基金更高的费用比率。我们观察到，当基金的管理设计从单一经理改为多名经理时，投资组合的内部和跨部门集中度，绩效和费用比率有所下降。

The Effect of Management Design on the Portfolio Concentration and Performance of Mutual Funds

Eitan Goldman (Kelley School of Business, Indiana University), Zhenzhen Sun (School of Business, Siena College), Xiyu (Thomas) Zhou (School of Management, University of Alaska)

ABSTRACT

We show that the performance of actively managed equity mutual funds increases when portfolios are concentrated in the top one or two stocks within each industry sector. Funds managed by a single manager have much more concentrated portfolios, tend to perform better, and have higher expense ratios than funds managed by multiple managers. We observe that when a fund’s management design is changed from single manager to multiple managers, the portfolio’s within- and cross-sector concentration, performance, and expense ratios decrease.

原文链接： http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n4.9

翻译：赵胜旺