Active Fundamental Performance
提出主动基本面表现（AFP）指标，通过基金持仓偏离基准组合与股票在基本面信息披露日的表现协方差，识别有技能的基金经理。1984-2014年间，高AFP基金年化收益比低AFP基金高2%-3%。
We propose a new measure, active fundamental performance (AFP), to identify skilled mutual fund managers. AFP evaluates fund investment skills conditioned on the release of firms’ fundamental information. For each fund, we examine the covariance between deviations of its portfolio weights from a benchmark portfolio and the underlying stock performance on days when firms publicize fundamental information. Because asset prices on these information days better reflect firm fundamentals, AFP can more effectively identify investment skills. From 1984 to 2014, funds in the top decile of high AFP subsequently outperformed those in the bottom decile by 2% to 3% per year. Received August 25, 2016; editorial decision December 17, 2017 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.