Journal of Financial Economics , Volume 118, Issue 1, October 2015, Pages 1-20

衡量共同基金的能力

作者：Jonathan B. Berk ，Jules H. van Binsbergen

摘要：本文使用了共同基金从资本市场获取的资金量来测度基金的能力，证明了共同基金凭借其能力平均每年从资本市场获取320万美元。横截面上不同基金能力的差异能持续10年之久。在投资者识别出这种差异之后，会投资更多资金到能力更强的基金。能力越强的基金，索要的费用也越高，基金当前收取的费用与未来基金的业绩正相关。横截面上基金的管理能力的分布并没有反映到总的阿尔法上，而是显著反映在了基金规模的分布上。

关键词：共同基金 管理能力 阿尔法

Measuring Skill in the Mutual Fund Industry

Jonathan B. Berk , Jules H. van Binsbergen

ABSTRACT

Using the value that a mutual fund extracts from capital markets as the measure of skill, we find that the average mutual fund has used this skill to generate about $3.2 million per year. Large cross-sectional differences in skill persist for as long as ten years. Investors recognize this skill and reward it by investing more capital with better funds. Better funds earn higher aggregate fees, and a strong positive correlation exists between current compensation and future performance. The cross-sectional distribution of managerial skill is predominantly reflected in the cross-sectional distribution of fund size, not gross alpha.

Keywords: Mutual funds; Managerial skill; Alpha

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X15000628

翻译：吴雨玲