How Active Is Your Fund Manager? A New Measure That Predicts Performance
提出一个衡量主动管理程度的新指标“主动份额”，计算1980-2003年美国国内股票型共同基金的主动份额，发现主动份额高的基金显著跑赢基准，且业绩持续性强，而主动份额低的非指数基金则跑输基准。
We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share significantly outperform their benchmarks, both before and after expenses, and they exhibit strong performance persistence. Nonindex funds with the lowest Active Share underperform their benchmarks. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.