Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 131-39

主动型基金经理技高一筹：每年平均增值三百万美元

作者：Berk, Jonathan B (Stanford University- Graduate School of Business), van Binsbergen, Jules H (University of Pennsylvania- The Wharton School)

摘要：本文研究发现主动型基金经理能够运用自身技能，平均每年为基金创造320万美元的价值。横截面上不同基金经理的技能差异巨大，且该差异能持续十年之久。投资者意识到了这种差异，并据此将更多的资金投资于技能更强的基金经理管理的基金。这些基金能够挣得更高的总的管理费用，并且基金当前的回报和未来的表现间存在显著的正相关关系。

关键词：投资组合选择，投资决策，养老基金，非银行金融机构，金融工具，机构投资者

Active Managers Are Skilled: On Average, They Add More Than $3 Million Per Year

Berk, Jonathan B.(Stanford University- Graduate School of Business); van Binsbergen, Jules H.(University of Pennsylvania- The Wharton School)

ABSTRACT

Active fund managers are skilled and, on average, have used their skill to generate about $3.2 million per year. Large cross-sectional differences in skill persist for as long as 10 years. Investors recognize this skill and reward it by investing more capital in funds managed by better managers. These funds earn higher aggregate fees, and a strong positive correlation exists between current compensation and future performance.

原文链接：http://www.valuewalk.com/wp-content/uploads/2015/07/SSRN-id2616505.pdf

翻译：陈爽