An analysis of mutual fund design: the case of investing in small-cap stocks

• 成果类型: Article
• 署名作者: Keim, DB
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00049-X
• 发表日期: 1999
• 页码: 173-194
• 关键词: transactions costs; mutual fund design; index fund; small-cap stocks

摘要

In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks. The '9-10 Fund' is based on the CRSP 9-10 Index, an index of small-cap stocks constituting the ninth and tenth deciles of NYSE market capitalization, although the 9-10 Fund incorporates investment rules and a trading strategy that are aimed at minimizing the potentially excessive trade costs associated with such illiquid stocks, As a result, the 9-10 Fund provided a 2.2% annual premium over the 9-10 Index for the 1982-1995 period. We show that both the investment rules and the trade strategy components of the Fund's design contribute significantly to this return difference. (C) 1999 Elsevier Science S.A. All rights reserved.