An analysis of mutual fund design: the case of investing in small-cap stocks
分析Dimensional Fund Advisors于1982年推出的9-10基金，该基金追踪小盘股指数但通过投资规则和交易策略降低交易成本，在1982-1995年间实现了比指数年化2.2%的超额收益，并证明设计和策略对收益差异有显著贡献。
In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks. The '9–10 Fund' is based on the CRSP 9–10 Index, an index of small-cap stocks constituting the ninth and tenth deciles of NYSE market capitalization, although the 9–10 Fund incorporates investment rules and a trading strategy that are aimed at minimizing the potentially excessive trade costs associated with such illiquid stocks. As a result, the 9–10 Fund provided a 2.2% annual premium over the 9–10 Index for the 1982–1995 period. We show that both the investment rules and the trade strategy components of the Fund's design contribute significantly to this return difference.