Mutual Funds: Skill and Performance
Mutual Funds: Skill and Performance
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共同基金：技能和绩效
DOI：
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发表时间：
2020
影响因子：
1.4
通讯作者：
Max Miller
中科院分区：
文献类型：
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作者：
J. Berk;J. Binsbergen;Max Miller
作者总结了近年来关于共同基金经理技能和业绩的文献。他们讨论了该领域的最新贡献，并通过理性预期框架（有效市场假说）的透镜重新解释它们。他们进一步讨论了（1）基准模型的选择和（2）在性能研究中选择的时间序列和横截面样本的重要性。文章有三个主要结论。首先，尽管净阿尔法是衡量投资于特定基金的额外美元的异常回报的指标（即，业绩），它并不衡量共同基金经理的技能。为了衡量后者，需要总阿尔法和基金规模的乘积增值。其次，在评估投资经理的技能和业绩时，可以使用一组实时可用的指数基金作为相关的反事实。事后诸葛亮构建的不可交易因素并不是一个现实的基准。第三，在对技能和业绩进行推断时，作者想不出有什么好的理由排除高质量的共同基金数据，无论是在横截面还是时间序列中。主题：基金经理选择、共同基金业绩、业绩衡量关键发现·净阿尔法不是衡量共同基金经理技能的适当指标;管理资产和总阿尔法的乘积增值是衡量共同基金经理技能的指标。·实时可用指数基金集合是用于评估投资经理的技能和业绩的相关反事实投资机会集合。·对技能和业绩的研究不应将共同基金的高质量数据排除在横截面或时间序列之外。
The authors summarize the recent literature on mutual fund manager skill and performance. They discuss the latest contributions in the field and reinterpret them through the lens of the rational expectations framework (efficient market hypothesis). They further discuss the importance of (1) the choice of benchmark model and (2) the time-series and cross-sectional sample selected in performance studies. The article has three main conclusions. First, although net alpha is a measure of the abnormal return of an extra dollar invested in a particular fund (i.e., performance), it does not measure mutual fund manager skill. To measure the latter, the product of gross alpha and the size of the fund—value added—is needed. Second, the set of real-time available index funds is the relevant counterfactual to use when assessing the skill and performance of investment managers. Nontradable factors that are constructed with the benefit of hindsight are not a realistic benchmark. Third, the authors can think of no good reason to exclude high-quality mutual fund data either in the cross section or time series when making inferences regarding skill and performance. TOPICS: Manager selection, mutual fund performance, performance measurement Key Findings • Net alpha is not an appropriate measure of mutual fund manager skill; value added, the product of assets under management and gross alpha, is a measure of mutual fund manager skill. • The set of real-time available index funds is the relevant counterfactual investment opportunity set for assessing skill and performance of investment managers. • Studies of skill and performance should not exclude high-quality data on mutual funds from either the cross section or the time series.