Journal of Financial Economics, Available online 24 August 2016

“耐心資本”的突出表現：低頻率交易、高積極份額的基金經理的投資技能

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：在那些高積極份額（所持股票與基準指數基金所持股票的差别很大）的投資組合中，實施“耐心”的（持股久期大于2年）投資策略的投資組合平均要比基準組合的年收益率高2%。而換股頻率更高的基金，即使它們是高積極份額的基金，通常表現得比基準組合差。在“耐心”的基金中，将基金按照積極份額的高低對基金進一步加以區分是有意義的，因為盡管都是實施了“耐心”的投資策略，但低積極份額的基金平均表現更差。我們的結果表明美國股權市場為長期投資的主動型基金經理提供了機會，這可能是由于緻力于“耐心”的主動型投資策略的套利資本有限所緻。

關鍵詞：業績 積極份額 共同基金 機構投資組合 13F 基金久期 周轉率

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.

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16301441

翻譯：吳雨玲