A Panel Regression Approach to Holdings-Based Fund Performance Measures
本文提出用面板回归分析基金持仓数据来度量业绩，发现持仓权重在更高alpha股票上随时间增加（买入持有漂移）会影响业绩度量，且投资者资金流对剔除该漂移后的平均业绩有反应。
Abstract Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks are regressed on its lagged portfolio weights. Stock fixed effects isolate average performance from time-series predictive ability. Control variables condition for fund performance on the characteristics of the stocks held. The long-term performance of average holdings drives some of the classical measures, while predictive ability drives others. A “buy-and-hold drift,” where portfolio weights increase over time in the higher alpha stocks, affects performance measures. Investor flows respond to average performance net of the buy-and-hold drift..