Journal of Financial Economics , Volume 118, Issue 1, October 2015, Pages 1-20

衡量共同基金的能力

作者：Jonathan B. Berk ，Jules H. van Binsbergen

摘要：本文使用了共同基金從資本市場獲取的資金量來測度基金的能力，證明了共同基金憑借其能力平均每年從資本市場獲取320萬美元。橫截面上不同基金能力的差異能持續10年之久。在投資者識别出這種差異之後，會投資更多資金到能力更強的基金。能力越強的基金，索要的費用也越高，基金當前收取的費用與未來基金的業績正相關。橫截面上基金的管理能力的分布并沒有反映到總的阿爾法上，而是顯著反映在了基金規模的分布上。

關鍵詞：共同基金 管理能力 阿爾法

Measuring Skill in the Mutual Fund Industry

Jonathan B. Berk , Jules H. van Binsbergen

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：吳雨玲