英文标题：
《Why Indexing Works》
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作者：
J. B. Heaton, N. G. Polson, J. H. Witte
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最新提交年份：
2018
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英文摘要：
  We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that the best performing stocks in a broad market index often perform much better than the other stocks in the index. Randomly selecting a subset of securities from the index may dramatically increase the chance of underperforming the index. The relative likelihood of underperformance by investors choosing active management likely is much more important than the loss to those same investors from the higher fees for active management relative to passive index investing. Thus, active management may be even more challenging than previously believed, and the stakes for finding the best active managers may be larger than previously assumed.
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中文摘要：
我们开发了一个简单的股票选择模型来解释为什么活跃的股票经理往往表现低于基准指数。我们通过实证观察来激励我们的模型，即大盘指数中表现最好的股票往往比指数中的其他股票表现更好。从指数中随机选择一部分证券可能会显著增加指数表现不佳的可能性。选择主动管理的投资者表现不佳的相对可能性可能比主动管理相对于被动指数投资的更高费用给这些投资者带来的损失要重要得多。因此，主动管理可能比之前认为的更具挑战性，寻找最佳主动管理者的风险可能比之前假设的更大。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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