This study introduces a new measure of fund activeness that predicts future fund abnormal returns. This measure is defined as the “return on new portfolio holdings.” It is constructed as the return on stocks that a fund has not held before. We find that the return on these positions drives future fund alpha. On average, a one-standard deviation increase in the return on new holdings increases fund alpha by approximately 0.39 to 0.49 percent per year. Overall, our findings provide new insights on the value of active management.

中文翻译：

---

共同基金投资组合中的新头寸：对 Fund Alpha 的影响

本研究引入了一种新的基金活跃度衡量标准，可以预测未来基金的异常收益。该指标被定义为“新投资组合持有的回报”。它被构造为基金之前未持有的股票的回报。我们发现这些头寸的回报推动了未来的基金阿尔法。平均而言，新持有的回报每增加一个标准差，基金阿尔法值每年就会增加约 0.39% 至 0.49%。总的来说，我们的发现为主动管理的价值提供了新的见解。