Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
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基准指数应该有阿尔法吗？
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
Eric Zitzewitz
中科院分区：
文献类型：
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作者：
M. Cremers;Antti Petajisto;Eric Zitzewitz
标准的法玛-弗伦奇和卡哈特模型会产生在经济上和统计上意义重大的非零阿尔法，甚至对S和罗素2000等被动基准指数也是如此。我们发现，这些阿尔法指数的主要原因是，法玛-法国因素对表现良好的小型价值股给予了不成比例的权重，以及CRSP价值加权市场指数，由于纳入了封闭式基金等其他类型的证券，CRSP价值加权市场指数历来是美国股市的下行偏向基准。我们建议对Fama-France因子进行小的方法论修改，以消除非零α，并提出基于公共的和可交易的基准指数的因子模型。这两种替代模型都改善了主动管理投资组合的绩效评估，其中基于指数的模型表现最好。
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas primarily arise from the disproportionate weight that the Fama-French factors place on small value stocks, which have performed well, and from the CRSP value-weighted market index, which is historically a downward-biased benchmark for U.S. stocks due to the inclusion of other types of securities such as closed-end funds. We propose small methodological changes to the Fama-French factors to eliminate the nonzero alphas, and we also propose factor models based on common and tradable benchmark indices. Both kinds of alternative models improve performance evaluation of actively managed portfolios with the index-based models exhibiting the best performance.