Journal of Financial & Quantitative Analysis. Volume 53, Issue 1, February 2018

被动型基金与主动型基金表现：指数基金管理有技巧么？

作者：Alan D. Crane (Rice University Jones Graduate School of Business)

Kevin Crotty (Rice University Jones Graduate School of Business)

摘要：我们将评估共同基金技能的方法运用到不太可能存在投资组合选择技巧的基金——指数基金上。令人吃惊的是，这些检验表明指数基金投资技巧持续存在，并且与主动型基金有相似的比例。我们利用被动型基金业绩表现的分布来衡量主动投资经理的增量能力。当我们利用指数基金分布作为基准时，排名靠前的主动型基金的超额绩效会比较低，甚至在考虑到残差风险的情况下，超额绩效会消失。随机占优检验表明相对于一个随机指数基金，风险规避型投资者都不应该选择一个随机主动型基金。

Passive versus Active Fund Performance: Do Index Funds Have Skill?

Alan D. Crane (Rice University Jones Graduate School of Business), Kevin Crotty (Rice University Jones Graduate School of Business)

ABSTRACT

We apply methods designed to measure mutual fund skill to a cross section of funds that is unlikely to exhibit managerial portfolio selection skill: index funds. Surprisingly, these tests imply index fund skill exists, is persistent, and is in similar proportion as in active funds. We use the distribution of passive fund performance to gauge the incremental ability of active managers. Outperformance by top active funds is lower when benchmarked to the index fund distribution and disappears when we account for residual risk. Stochastic dominance tests suggest no risk-averse investor should choose a random active fund over a random index fund.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/passive-versus-active-fund-performance-do-index-funds-have-skill/F025DBD6823F2948F6119050E95DA457

翻译：汪国颂