Oversight Risk: How Committees Shape Portfolios
研究了投资委员会内部动态变化导致组合不稳定、损害绩效的“监督风险”，量化其通过市场时机和组合换手两个渠道的影响，并基于美国股市数据揭示技能与噪声的权衡。
Most institutional portfolios are governed by investment committees whose composition and internal dynamics evolve over time. When these dynamics cause the committee’s effective risk tolerance or investment beliefs to shift from meeting to meeting, the resulting portfolio instability imposes performance costs. We call the potential for this performance penalty <italic>oversight risk</italic>. This article develops a framework for quantifying oversight risk and identifies two channels through which it can operate, each with a distinct signature in standard performance metrics. Fluctuations in the committee’s effective risk tolerance create a market-timing effect that propagates through beta, alpha, and the Sharpe ratio. Fluctuations in effective committee beliefs erode risk-adjusted returns through excess portfolio churn while leaving the information ratio largely unchanged. Simulations calibrated to five decades of monthly US equity sector data help to quantify these predictions and reveal a skill–noise trade-off: committee skill shifts the center of the performance distribution, while governance noise widens it. Practical diagnostic and governance guidance is provided.