We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low-turnover funds add value only over longer horizons.

中文翻译：

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使用交易对共同基金增值进行基于水平的分解

我们使用交易级数据按基金持有期限分解共同基金增值。我们用一个具有特定时期投资理念的模型来激励我们的分解，其中短期想法的可扩展性较差，因为相关交易不能随着时间的推移而分散。基金周转率与增值期限呈负相关，与价格影响成本呈正相关。正如预测的那样，持有高周转率基金在前两周会增加大量价值，其中超过 80% 是在联邦公开市场委员会 (FOMC) 和财报公布日赚取的。持有低周转率基金只有在较长时期内才能增加价值。