Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds
Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds
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主动管理型机构股权互惠基金的表现和特点
DOI：
10.3905/joi.2009.18.1.027
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
David M. Smith
中科院分区：
文献类型：
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作者：
H. Baker;John A. Haslem;David M. Smith
我们调查了1,118个国内积极管理的机构股票共同基金的业绩和特征之间的关系。我们发现在单变量分析的证据表明，费用比率类是一个重要的决定因素的性能，结果是显着的，在多变量设置仅使用米勒的积极阿尔法作为性能指标。回归结果表明，规模较大的机构股票基金和持有较多现金的机构股票基金往往表现更好。我们得到的混合结果涉及营业额，贝塔系数和股息率的作用与业绩。我们的证据还表明，费用率和基金资产规模是区分机构基金和零售基金绩效的特征。最后，对于机构基金和零售基金来说，持有现金的比例越高，基金业绩越好，两者之间存在正相关关系。
We investigate the relation between the performance and characteristics of 1,118 domestic, actively managed institutional equity mutual funds. We find evidence in a univariate analysis that expense ratio class is an important determinant of performance, and the results are significant in a multivariate setting using only Miller’s active alpha as a performance metric. The regression results show that larger institutional equity funds and those with greater cash holdings tend to perform better. We obtain mixed results involving the role of turnover, beta, and dividend yield as related to performance. Our evidence also shows that expense ratios and fund asset size are characteristics distinguishing the performance between institutional funds and retail funds. Finally, for both institutional funds and retail funds, a positive relation exists between a higher percentage of cash held and better fund performance.