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

主動份額和共同基金表現

作者：Antti Petajisto （BlackRock）

摘要：通過主動份額和跟蹤誤差，作者将股權型共同基金按照主動管理的類别進行分類。主動性最高的基金在除去費用後仍可以跑赢基準指數，而主動管理型指數基金（closet indexers）則跑輸了基準。無論是在2008-2009年的金融危機中，還是各種不同市值規模的樣本群中，該結論均成立。但從2007年開始，主動管理型指數基金的規模在動蕩的熊市中不斷增加。另外，不同股票收益率的截面離差有利于預測積極選股的回報。

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.

原文鍊接：

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

翻譯：王冰倫