Financial Analysts Journal· VOL72,NO.2· March/April 2016.

管理設計對投資組合集中度和共同基金表現的影響

作者：Eitan Goldman (Kelley School of Business, Indiana University), Zhenzhen Sun (School of Business, Siena College), Xiyu (Thomas) Zhou (School of Management, University of Alaska)

摘要：我們發現當投資組合集中在每個行業領域中領先的一兩個股票時，采取積極管理的共同基金表現會有所增強。由單一經理管理的基金具有更集中的投資組合，傾向于表現更好，并且具有比由多個管理者管理的基金更高的費用比率。我們觀察到，當基金的管理設計從單一經理改為多名經理時，投資組合的内部和跨部門集中度，績效和費用比率有所下降。

The Effect of Management Design on the Portfolio Concentration and Performance of Mutual Funds

Eitan Goldman (Kelley School of Business, Indiana University), Zhenzhen Sun (School of Business, Siena College), Xiyu (Thomas) Zhou (School of Management, University of Alaska)

ABSTRACT

We show that the performance of actively managed equity mutual funds increases when portfolios are concentrated in the top one or two stocks within each industry sector. Funds managed by a single manager have much more concentrated portfolios, tend to perform better, and have higher expense ratios than funds managed by multiple managers. We observe that when a fund’s management design is changed from single manager to multiple managers, the portfolio’s within- and cross-sector concentration, performance, and expense ratios decrease.

原文鍊接： http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n4.9

翻譯：趙勝旺