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

共同基金行業中的測量技術

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

摘要：利用共同基金從資本市場中提取出的價值作為一種測量技術，我們發現在使用該技術下，共同基金平均每年會帶來320萬美元的價值。該技術在橫截面上較大的差異會持續長達十年之久。當投資者意識到這一技術後，就會通過投資更多的資金到表現較為優秀的基金中作為獎勵。這些基金會賺錢更高的費用，并且當前的補償和未來的業績表現之間存在強烈的正相關關系。研究表明管理技能的橫截面分布主要反映在基金規模而非總的Alpha上。

關鍵詞：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

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X15000628

翻譯：秦秀婷