Financial Analysts Journal·VOL69,NO. 4· July/August 2013

主动份额和共同基金表现

作者：Antti Petajisto （BlackRock）

摘要：通过主动份额和跟踪误差，作者将股权型共同基金按照主动管理的类别进行分类。主动性最高的基金在除去费用后仍可以跑赢基准指数，而主动管理型指数基金（closet indexers）则跑输了基准。无论是在2008-2009年的金融危机中，还是各种不同市值规模的样本群中，该结论均成立。但从2007年开始，主动管理型指数基金的规模在动荡的熊市中不断增加。另外，不同股票收益率的截面离差有利于预测积极选股的回报。

Active Share and Mutual Fund Performance

Antti Petajisto (BlackRock)

ABSTRACT

Using Active Share and tracking error, the author sorted all-equity mutual funds into various categories of active management. The most active stock pickers outperformed their benchmark indices even after fees, whereas closet indexers underperformed. These patterns held during the 2008–09 financial crisis and within market-cap styles. Closet indexing has increased in both volatile and bear markets since 2007. Cross-sectional dispersion in stock returns positively predicts performance by stock pickers.

原文链接：

https://www.researchgate.net/publication/228259060_Active_Share_and_Mutual_Fund_Performance

翻译：王冰伦