Fund Concentration: A Magnifier of Manager Skill
研究发现持仓集中度与相对收益绝对值呈凸关系，集中度提升对表现好的基金有正面影响，但对表现差的基金伤害更大，提醒投资者不能只看持仓集中度而不考虑行业暴露。
Investors who believe an active manager has insights or forecasts with the potential to earn higher relative returns may look for the manager to concentrate their portfolios. Because foresight is imperfect and correct forecasts will lead to more favorable outcomes and incorrect forecasts to less favorable outcomes, this analysis seeks to explore the impact of decisions to increase concentration on performance. We used portfolio sorts, standard OLS regression methods, and quantile regression methods to test the effect of portfolio concentration in various ways. We found that concentration has a significant convex relationship with the absolute value of relative returns. That is, as the effective number of holdings increases, its association with positive and negative relative performance diminishes. Additionally, we find that increasing concentration has a pronounced positive impact on performance for outperforming funds; the opposite is true for underperforming funds. Most importantly, higher levels of concentration generally hurt the poorly performing funds more than it helps the outperforming funds. For investors and gatekeepers who focus on holdings-based measures of concentration, the findings show that you can’t just look at holdings-based measures of concentration without considering industry exposures.