摘要
主动投资与被动投资孰优是证券投资领域一大热点问题。本文以2011—2021年股票基金和偏股混合基金为样本来比较中国主动基金和指数基金业绩,进而基于因子择时视角逐步揭示业绩差异的形成机制。研究发现:主动基金费后的年化收益率超出指数基金约5%;主动基金的胜出主要来自定价因子贡献部分,其中盈利因子贡献收益显著超过指数基金年化约2.2%,动量因子和规模因子贡献亦有一定优势,体现纯粹选股能力的alpha部分则存在劣势;主动基金的因子贡献优势源自其强于指数基金的因子择时能力。进一步研究表明,主动基金胜出并非由少数绩优基金驱动,其原始收益率和因子贡献的优势展现于整个分布,而alpha的劣势仅存在于部分分布区域;主动基金有因子择时能力并不意味着频繁调整风格,在因子表现稳定时也能维持既有风格。本文结论对于“大力发展机构投资者”具有明确启示。
Which is better,active or passive investing,is a hot issue in the field of securities investment.This paper compares the performance of active funds and index funds in China with the sample of equity mutual funds and equity-oriented hybrid mutual funds from 2011 to 2021,and gradually reveals the formation mechanism of performance differences based on the factor timing perspective.We find that after fees,the annualized return of active funds exceeds that of index funds by 5%;the superiority of active funds mainly comes from the contribution of pricing factors,with the profitability factor contributing returns exceeding that of index funds by approximately 2.2%annually,momentum and size factors also contribute with certain advantages,while the alpha component,which reflects the stock selection ability,exhibits a disadvantage;the advantage of active funds in factor contribution originates from their superior factor timing ability compared to index funds.Further research shows that the superiority of active funds is not driven by a few outstanding funds,their raw returns and factor contribution advantages are evident across the entire distribution,while the alpha disadvantage exists only in parts of the distribution.The fact that active funds have factor timing ability does not mean that they frequently adjust their style,but they can maintain their existing style when the factor performance is stable.The conclusions have clear implications for promoting the growth of institutional investors.
作者
徐步
郭水蓉
张悦
XU Bu;GUO Shui-rong;ZHANG Yue
出处
《中央财经大学学报》
北大核心
2023年第12期46-61,共16页
Journal of Central University of Finance & Economics
基金
教育部人文社会科学研究青年基金项目“中国指数基金交易的经济后果研究”(项目编号:17YJC790177)。
