Passive versus Active Fund Performance: Do Index Funds Have Skill?
用衡量共同基金技能的方法检验指数基金，发现指数基金也表现出技能且持续存在，比例与主动基金类似；用被动基金业绩分布评估主动基金经理的增量能力，发现顶尖主动基金的超额收益在对比指数基金分布后降低，且考虑残余风险后消失。
We apply methods designed to measure mutual fund skill to a cross section of funds that is unlikely to exhibit managerial portfolio selection skill: index funds. Surprisingly, these tests imply index fund skill exists, is persistent, and is in similar proportion as in active funds. We use the distribution of passive fund performance to gauge the incremental ability of active managers. Outperformance by top active funds is lower when benchmarked to the index fund distribution and disappears when we account for residual risk. Stochastic dominance tests suggest no risk-averse investor should choose a random active fund over a random index fund.