Financial Analysts Journal· VOL69,NO. 1 · January/February 2013

“隐形成本”的谜底：投资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：行业观察家很早以前就提示过基金交易存在“隐形”成本，但是目前关于成本的文献并没有将这一问题解释清楚，因为大部分研究没有考虑到价格影响（price impact）这一最大的交易成本来源。通过基金的投资组合持有数据和交易数据，作者发现在平均层面上，基金年交易成本率（trading costs）高于基金费用率（expense ratio），并且反向影响基金绩效。另外，作者还建立了一种精确但计算并不复杂的交易成本代理变量——规模调整后的转换率（position-adjusted turnover）。

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：

http://www.cfapubs.orgdoipdf10.2469faj.v69.n1.6

翻译：王冰伦