Financial Analyst Journal, Volume 73, Issue 2, Second Quarter 2017

活跃份额与主动管理的三大支柱：技巧，信念和机遇

作者：Martijn Cremers (University of Notre Dame)

摘要：本文将基金的活跃份额与基金经理选股的技巧、信念以及机遇相结合。本文提出了关于基金活跃份额的新的计算公式，强调基金中的活跃份额只有通过与基准的重复持有才能减少。本文说明了为何以及如何调整活跃份额的费用比例以及基准的投资成本。本文发现基金中的活跃份额对于主动管理型基金的表现至关重要。对于低活跃份额的基金，投资者不应投资过多，因为这类基金一般表现不佳。同时也没有证据表明高活跃份额的基金表现不佳，因为一般情况下那些具有高活跃份额的耐心的基金经理都相当成功。

Active Share and the Three Pillars of Active Management: Skill, Conviction, and Opportunity

Martijn Cremers (University of Notre Dame)

ABSTRACT

This article relates Active Share to the fund manager’s individual stock-picking skill, conviction, and opportunity. I propose a new formula for Active Share that emphasizes that a fund’s Active Share is reduced only through overlapping holdings with its benchmark. I show why and how to adjust the expense ratio for the level of Active Share and the cost of investing in the benchmark. I conclude that Active Share matters for the performance of actively managed funds. Investors should not pay (too) much for low–Active Share funds, which generally underperform. But there is no evidence that high–Active Share funds as a group have underperformed, and patient managers with high Active Share have been quite successful.

原文链接：

https://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n2.4

翻译：秦秀婷