Critical Finance Review · 14 September 2015

当机会来敲门：横截面收益分散和主动型基金表现

作者：Anna von Reibnitz(Australian National University)

摘要：通过股票收益的横向分散来衡量的市场中的主动机会，对基金业绩有显著的影响。当最积极的基金产生的 显著超过其他月份产生的 时，积极策略在高分散期对收益的影响最大。相对于最不活跃的基金，最活跃基金的出色表现也集中在高分散期间。因此，在追求出色表现的收益方面，决定何时投资于主动型资金，与决定投资哪些项目同样重要。基于收益分散，在考虑交易费用后，高主动型和被动型基金之间产生显著的超过去除费用后的2.7%的年收益率。本文为主动型基金如何产生价值的理解提供了一个新的思路，即通过综合识别

哪一个基金经理在洞察市场什么时候是最有利于获得突出表现方面中具有最大的潜力。

关键词：共同基金、收益离散、主动型管理

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：施懿