Journal of Financial Economics, Available online 24 August 2016

“耐心资本”的突出表现：低频率交易、高积极份额的基金经理的投资技能

作者：Martijn Creme (Mendoza College of Business, University of Notre Dame, Notre Dame, IN 46556, United States), Ankur Pareek (Rutgers Business School, Piscataway, NJ 08854, United States)

摘要：在那些高积极份额（所持股票与基准指数基金所持股票的差别很大）的投资组合中，实施“耐心”的（持股久期大于2年）投资策略的投资组合平均要比基准组合的年收益率高2%。而换股频率更高的基金，即使它们是高积极份额的基金，通常表现得比基准组合差。在“耐心”的基金中，将基金按照积极份额的高低对基金进一步加以区分是有意义的，因为尽管都是实施了“耐心”的投资策略，但低积极份额的基金平均表现更差。我们的结果表明美国股权市场为长期投资的主动型基金经理提供了机会，这可能是由于致力于“耐心”的主动型投资策略的套利资本有限所致。

关键词：业绩 积极份额 共同基金 机构投资组合 13F 基金久期 周转率

Patient capital outperformance: The investment skill of high active share managers who trade infrequently

Martijn Creme (Mendoza College of Business, University of Notre Dame, Notre Dame, IN 46556, United States), Ankur Pareek (Rutgers Business School, Piscataway, NJ 08854, United States)

ABSTRACT: Among high active share portfolios—whose holdings differ substantially from their benchmark—only those with patient investment strategies (with holding durations of over two years) on average outperform, over 2% per year. Funds trading frequently generally underperform, including those with high active share. Among patient funds, separating closet index from high active share funds matters, as low active share funds on average under- perform even with patient strategies. Our results suggest that U.S. equity markets provide opportunities for longer-term active managers, perhaps because of the limited arbitrage capital devoted to patient and active investment strategies.

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X16301441

翻译：吴雨玲