Financial Analysts Journal·VOL73,NO.1· Jan/Feb 2016.

作者：David R. Gallagher (CEO of the Centre for International Finance and Regulation, professor of finance at the UNSW Business School, professor of finance at Macquarie Graduate School of Management, and research director at Capital Markets CRC Limited), Graham Harman (senior investment strategist for Asia Pacific at Russell Investments), Camille H. Schmidt (postdoctoral research fellow at the Centre for International Finance and Regulation), Geoffrey J. Warren (research director at the Centre for International Finance and Regulation, and senior lecturer at the Australian National University)

摘要：通过使用关于投资组合的数据，我们检查了2002年至2012年期间143个全球股票基金的表现。我们发现全球股票管理者平均每年税前收益超过基准1.2%-1.4%。归因分析显示，超额收益主要来源于选择了击败当地市场的股票。适当的超额收益来源于国家选择，鉴于混合的货币效应，这一点在新兴市场最显著。我们的发现支持全球股票市场的积极管理，至少说对于年费少于1%的机构账户是这样的。

Global Equity Fund Performance: An Attribution Approach

David R. Gallagher (CEO of the Centre for International Finance and Regulation, professor of finance at the UNSW Business School, professor of finance at Macquarie Graduate School of Management, and research director at Capital Markets CRC Limited), Graham Harman (senior investment strategist for Asia Pacific at Russell Investments), Camille H. Schmidt (postdoctoral research fellow at the Centre for International Finance and Regulation), Geoffrey J. Warren (research director at the Centre for International Finance and Regulation, and senior lecturer at the Australian National University)

ABSTRACT

Using data on portfolio holdings, we examine the performance of 143 global equity funds over 2002–2012. We find that the average global equity manager outperforms the benchmark by 1.2%–1.4% a year before fees. Attribution analysis reveals that the prime source of excess return is selecting stocks that beat their local markets. Modest contributions come from country selection, most notably in emerging markets, whereas currency effects are mixed. Our findings support considering active management in global equity markets, at least for institutional accounts that pay annual fees of less than 1%

原文链接：http://dx.doi.org/10.2469/faj.v73.n1.1

翻译：赵胜旺