The Journal of Financial Economics Volume 118, Issue1, October 2015, Pages1-20

共同基金行业中的测量技术

作者：Jonathan B. Berk (Stanford University), Jules H. van Binsbergen (University of Pennsylvania)

摘要：利用共同基金从资本市场中提取出的价值作为一种测量技术，我们发现在使用该技术下，共同基金平均每年会带来320万美元的价值。该技术在横截面上较大的差异会持续长达十年之久。当投资者意识到这一技术后，就会通过投资更多的资金到表现较为优秀的基金中作为奖励。这些基金会赚钱更高的费用，并且当前的补偿和未来的业绩表现之间存在强烈的正相关关系。研究表明管理技能的横截面分布主要反映在基金规模而非总的Alpha上。

关键词：共同基金，管理技巧，Alpha

Measuring skill in the mutual fund industry

Jonathan B. Berk (Stanford University), Jules H. van Binsbergen (University of Pennsylvania)

ABSTRACT: Using the value that a mutual fund extracts from capital markets as the measure of skill, we find that the average mutual fund has used this skill to generate about $3.2 million per year. Large cross-sectional differences in skill persist for as long as ten years. Investors recognize this skill and reward it by investing more capital with better funds. Better funds earn higher aggregate fees and a strong positive correlation exists between current compensation and future performance. The cross-sectional distribution of managerial skill is predominantly reflected in the cross-sectional distribution of fund size, not gross alpha.

Keywords: Mutual funds , Managerial skill, Alpha

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X15000628

翻译：秦秀婷