Financial Analyst Journal, Volume 69, Issue1, 2013

关注“无形”成本：交易成本和共同基金表现

作者：Roger Edelen (University of California)

Richard Evans(University of Virginia)

Gregory Kadlec(Virginia Tech)

摘要：行业观察人士很早就对基金交易的“无形”成本发出过警示，然而关于这些成本的重要性的研究证据是混杂的，因为许多研究没有考虑到最大的交易成本——价格的影响。利用投资组合的持有和交易数据，作者发现平均来看，基金的年度交易成本高于其费用率，并会对业绩产生负面影响。此外，他们还创建了一个计算精准且简单的交易成本代理变量——头寸调整周转率。

Shedding Light on “Invisible” Costs: Trading Costs and Mutual Fund Performance

Roger Edelen (University of California), Richard Evans(University of Virginia), Gregory Kadlec(Virginia Tech)

ABSTRACT

Industry observers have long warned of the “invisible” costs of fund trading, yet evidence that these costs matter is mixed because many studies do not account for the largest trading-cost component—price impact. Using portfolio holdings and transaction data, the authors found that funds’ annual trading costs are, on average, higher than their expense ratio and negatively affect performance. They also developed an accurate but computationally simple trading-cost proxy—position-adjusted turnover.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v69.n1.6

翻译：秦秀婷