THE JOURNAL OF PORTFOLIO MANAGEMENT ? VOL.45, NO. 1 ? OCTOBER 2018

聘用盈利经理、解雇亏损经理是不明智的

作者：Robert D. mname Arnott（Research Affiliates Global Advisors (Europe) Limited）

Vitali mname Kalesnik（Research Affiliates Global Advisors (Europe) Limited）

Lillian J. mname Wu（Research Affiliates Global Advisors (Europe) Limited）

摘要：根据过去三年的表现，解雇亏损的经理、聘用盈利的经理这一标准化规则会导致损失。 投资者需要对未来进行展望，而不仅仅是回顾过去表现。在向基金经理分配资金时，投资者需要使用一种衡量基金预期回报率的指标，该指标考虑了风险敞口、费用、基金经理的选股能力，以及基于相对估值的要素预期回报率。随着投资者及其顾问对相对估值在要素和战略绩效方面的预测效果有了更深入的了解，他们就有了客观的理由来避免单纯追逐绩效的失误。

The Folly of Hiring Winners and Firing Losers

Robert D. mname Arnott（Research Affiliates Global Advisors (Europe) Limited）, Vitali mname Kalesnik（Research Affiliates Global Advisors (Europe) Limited）, Lillian J. mname Wu（Research Affiliates Global Advisors (Europe) Limited）

ABSTRACT

The standard procedure of firing losing managers and hiring winning managers based on their past three-year performance leads to losses. Investors need to look forward—not just back—when allocating to fund managers by using a measure of expected fund returns that considers factor exposures, fees, manager skill in security selection, and factor expected returns estimated based on relative valuation. As investors and their consultants gain a better understanding of the predictive efficacy of relative valuations in factor and strategy performance, they gain an objective reason to avoid the blunders of performance chasing.

原文链接：http://jpm.iijournals.com/content/45/1/71

翻译：吕越