Managerial Activeness and Mutual Fund Performance
提出一个基于价值权重与实际权重差异的简单活跃管理度量，发现活跃基金年化跑赢被动基金2.5%，该度量能稳健预测基金流量、资产增长和业绩。
A closet indexer is more likely to meet a value-weighted investment benchmark by value weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and actual weights held by a fund, summed across its holdings. This proxy captures managerial skill: active funds outperform passive ones by 2.5% annually. Compared with known measures of skill, our proxy robustly predicts fund flows, asset growth, factor-adjusted performance, and value added. Its predictive ability is orthogonal to that of other measures and is robust to controlling for volatility timing, past performance, and style.