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【Financial Analysts Journal】“隐形成本”的謎底:交易成本與共同基金表現

[發布日期]:2016-09-03  [浏覽次數]:

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

“隐形成本”的謎底:投資成本和共同基金表現

作者:Roger Edelen(University of California)

Richard Evans(University of Virginia)

Gregory Kadlec(Virginia Tech)

摘要:行業觀察家很早以前就提示過基金交易存在“隐形”成本,但是目前關于成本的文獻并沒有将這一問題解釋清楚,因為大部分研究沒有考慮到價格影響(price impact)這一最大的交易成本來源。通過基金的投資組合持有數據和交易數據,作者發現在平均層面上,基金年交易成本率(trading costs)高于基金費用率(expense ratio),并且反向影響基金績效。另外,作者還建立了一種精确但計算并不複雜的交易成本代理變量——規模調整後的轉換率(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.

原文鍊接:

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

翻譯:王冰倫



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