基金管理模式、投资风格与经营绩效:来自中国公募基金探索性研究
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摘要
随着基金规模的扩大和需求的多元化,越来越多的基金采用两人或以上的团队管理模式,使团队相较个人管理的优劣对比成为有意义的研究课题。本文以2003—2012年我国全部开放式基金为样本,系统全面地探讨个人和团队两种基金管理模式在投资风格与基金业绩上的差异,以及团队内部结构对团队管理基金的投资风格和业绩的影响。通过以月度收益标准差、前十大证券集中度衡量基金投资风格,及以夏普比率、择时能力、选股能力衡量基金业绩,发现在股票型基金和混合型基金中团队管理比个人管理的基金整体风险低,而团队和个人管理的基金整体业绩上不存在显著差异。针对团队内部结构的分析发现,团队合作年限与股票型基金业绩成正比,但团队合作年限会加重群体极化,使股票型基金风险趋大,但债券型基金风险趋小,同时团队规模和团队合作年限与混合型基金的择时能力呈负相关。
This study examines the difference in investment style and performance between individual and team-managed mutual funds and the impact of internal mode of the team on investment style and performance using the data of 1030 Chinese mutual funds with a ten-year span from 2003 to 2012.The results suggest no significant difference between individual and team-managed funds in terms of Sharpe ratio,timing and selectivity skill,which is consistent with classical decision-making theory.Strong evidence shows that team-managed stock and hybrid funds have lower risk than individual-managed funds,which is consistent with diversification theory.Team size and team tenure reduce timing skill of hybrid funds.Team tenure brings higher Sharpe ratio to stock funds with higher risk,but lower risk to bond funds,implying accentuation of group tendency.
This study examines the difference in investment style and performance between individual and team-managed mutual funds and the impact of internal mode of the team on investment style and performance using the data of 1030 Chinese mutual funds with a ten-year span from 2003 to 2012.The results suggest no significant difference between individual and team-managed funds in terms of Sharpe ratio,timing and selectivity skill,which is consistent with classical decision-making theory.Strong evidence shows that team-managed stock and hybrid funds have lower risk than individual-managed funds,which is consistent with diversification theory.Team size and team tenure reduce timing skill of hybrid funds.Team tenure brings higher Sharpe ratio to stock funds with higher risk,but lower risk to bond funds,implying accentuation of group tendency.
引文
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[2]Br,M,Kempf A,Ruenzi S.Is a Team Different from the Sum of Its Parts?Evidence from Mutual Fund Managers[J].Review of Finance,2011,15(2):359-396.
[3]Baron R S,Dion K L,Baron P H,et al.Group Consensus and Cultural Values as Determinants of Risk Taking[J].Journal of Personality and Social Psychology,1971,20:446-455.
[4]Barry C B,Starks L T.Investment Management and Risk Sharing with Multiple Managers[J].Journal of Finance,1984,39(2):477-491.
[5]Bikhchandani S,Hirshleifer D,Welch I.Learning from The Behavior of Others:Conformity,Fads and Informational Cascades[J].Journal of Economic Perspectives,1998,12(3):151–170.
[6]Bliss R,Potter M,Schwarz C.Performance Characteristics of Individual vs.Team Managed Mutual Funds[R].SSRN Working Paper,2006.
[7]Cooper D J,Kagel J H.Are Two Heads Better than One:Team Versus Individual Play in Signaling Games[J].American Economic Review,2005,95(3):477-509.
[8]De Dreu C K W,Weingart L R.Task Versus Relationship Conflict,Team Performance and Team Member Satisfaction:A Meta-Analysis[J].Journal of Applied Psychology,2003,88(4):741–749.
[9]Edwards W.Behavioral Decision Theory[J].Annual Review Psychology,1961,12:473-98.
[10]Fama E F.Efficient Capital Markets:A Review of Theory and Empirical Work[J].Journal of Finance,1970,25(2):383-417.
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[12]Friedkin N E.Choice Shift and Group Polarization[J].American Sociological Review,1999,64(6):856-874.
[13]Golec J H.The Effects of Mutual Fund Managers’Characteristics on Their Portfolio Performance,Risk and Fees[J].Financial Services Review,1996,5(2):133-148.
[14]Hinsz V B,Vollrathet D A,Sheppard B H,et al.Memory Performance by Decision Making Groups and Individuals[J].Organizational Behavior and Human Decision Processes,1997,43(3):289-300.
[15]Hogarth R M,Reder M W.Editors'comments:Perspectives from Economics and Psychology[J].Journal of Business,1986,59(4):S185-S207.
[16]Holmstrom B.Moral Hazard in Teams[J].The Bell Journal of Economics,1982,13(2):324-340.
[17]Karagiannidis I.Essays on Mutual Fund Performance and Organization[D].Unpublished PhD Dissertation,Michigan State University,2007.
[18]Katz R.The Effects of Group Longevity on Project Communication and Performance[J].Administrative Science Quarterly,1982,27(1):81-104.
[19]Kon S J.The Market-Timing Performance of Mutual Fund Managers[J].Journal of Business,1983,56(3):323-347.
[20]Ley E,Steel M F L.A Model of Management Teams[J].Managerial and Decision Economics,1998,19(6),355-363.
[21]Masclet D,Colombier N,Denant-Boemont L,et al.Group and Individual Risk Preferences:A Lottery-Choice Experiment with Self-Employed and Salaried Workers[J].Journal of Economic Behavior&Organization,2009,70(3):470-484.
[22]Mellers B A,Schwartz A,Cooke A D J.Judgment and Decision Making[J].Annual Review of Psychology,1998,49:447-477.
[23]Miner F C.Group Versus Individual Decision Making:An Investigation of Performance Measures,Decision Strategies,and Process Losses/Gains[J]. Organizational Behavior and Human Performance,1984,33:112-124.
[24]Prather L J,Middleton K L,Cusack A J.Are N+1Heads Better than One?The Timing and Selectivity of Australian-Managed Investment Funds[J].Pacific-Basin Finance Journal,2001,9(4):379-400.
[25]Prather L J,Middleton K L.Are N+1 Heads Better than One?The Case of Mutual Fund Managers[J].Journal of Economic Behavior&Organization,2002,47(1):103-120.
[26]Prather L J,Bertin W J,Henker T.Mutual Fund Characteristics,Managerial Attributes,and Fund Performance[J].Review of Financial Economics,2004,13(4):305-326.
[27]Prather L J,Middleton K L.Timing and Selectivity of Mutual Fund Managers:An Empirical Test of the Behavioral Decision-Making Theory[J].Journal of Empirical Finance,2006,13(3):249-273.
[28]Sah R K,Stiglitz J E.Committees,Hierarchies,and Polyarchies[J].Economic Journal,1988,98:451-470.
[29]Sharpe W F.Mutual Fund Performance[J].Journal of Business,1966,39(1):119-138.
[30]Sheremeta R M,Zhang J.Can Groups Solve the Problem of Over-Bidding in Contests?[J].Social Choice and Welfare,2010,35(2):175-197.
[31]Treynor J L,Mazuy K.Can Mutual Funds Outguess the Market?[J].Harvard Business Review,1966,44:131-136.
[32]Turner J C,Abrams D,Wetherell M,et al.Knowing What to Think by Knowing Who You Are:Self-Categorization and the Nature of Norm Formation,Conformity and Group Polarization[J].British Journal of Social Psychology,1990,29(2):97-119.
[33]Vollrath D A,Sheppard B H,Hinsz V B,et al.Memory Performance by Decision Making Groups and Individuals[J].Organizational Behavior and Human Decision Processes,1998,43(3):289-300.
[34]Zhang J,Casari M.How Groups Reach Agreement in Risky Choices:An Experiment[J].Economic Inquiry,2012,50(2):502-515.
[2]Br,M,Kempf A,Ruenzi S.Is a Team Different from the Sum of Its Parts?Evidence from Mutual Fund Managers[J].Review of Finance,2011,15(2):359-396.
[3]Baron R S,Dion K L,Baron P H,et al.Group Consensus and Cultural Values as Determinants of Risk Taking[J].Journal of Personality and Social Psychology,1971,20:446-455.
[4]Barry C B,Starks L T.Investment Management and Risk Sharing with Multiple Managers[J].Journal of Finance,1984,39(2):477-491.
[5]Bikhchandani S,Hirshleifer D,Welch I.Learning from The Behavior of Others:Conformity,Fads and Informational Cascades[J].Journal of Economic Perspectives,1998,12(3):151–170.
[6]Bliss R,Potter M,Schwarz C.Performance Characteristics of Individual vs.Team Managed Mutual Funds[R].SSRN Working Paper,2006.
[7]Cooper D J,Kagel J H.Are Two Heads Better than One:Team Versus Individual Play in Signaling Games[J].American Economic Review,2005,95(3):477-509.
[8]De Dreu C K W,Weingart L R.Task Versus Relationship Conflict,Team Performance and Team Member Satisfaction:A Meta-Analysis[J].Journal of Applied Psychology,2003,88(4):741–749.
[9]Edwards W.Behavioral Decision Theory[J].Annual Review Psychology,1961,12:473-98.
[10]Fama E F.Efficient Capital Markets:A Review of Theory and Empirical Work[J].Journal of Finance,1970,25(2):383-417.
[11]Finkelstein S,Hambrick D C.Top-Management-Team Tenure and Organizational Outcomes:The Moderating Role of Managerial Discretion[J].Administrative Science Quarterly,1990,35(3):484-503.
[12]Friedkin N E.Choice Shift and Group Polarization[J].American Sociological Review,1999,64(6):856-874.
[13]Golec J H.The Effects of Mutual Fund Managers’Characteristics on Their Portfolio Performance,Risk and Fees[J].Financial Services Review,1996,5(2):133-148.
[14]Hinsz V B,Vollrathet D A,Sheppard B H,et al.Memory Performance by Decision Making Groups and Individuals[J].Organizational Behavior and Human Decision Processes,1997,43(3):289-300.
[15]Hogarth R M,Reder M W.Editors'comments:Perspectives from Economics and Psychology[J].Journal of Business,1986,59(4):S185-S207.
[16]Holmstrom B.Moral Hazard in Teams[J].The Bell Journal of Economics,1982,13(2):324-340.
[17]Karagiannidis I.Essays on Mutual Fund Performance and Organization[D].Unpublished PhD Dissertation,Michigan State University,2007.
[18]Katz R.The Effects of Group Longevity on Project Communication and Performance[J].Administrative Science Quarterly,1982,27(1):81-104.
[19]Kon S J.The Market-Timing Performance of Mutual Fund Managers[J].Journal of Business,1983,56(3):323-347.
[20]Ley E,Steel M F L.A Model of Management Teams[J].Managerial and Decision Economics,1998,19(6),355-363.
[21]Masclet D,Colombier N,Denant-Boemont L,et al.Group and Individual Risk Preferences:A Lottery-Choice Experiment with Self-Employed and Salaried Workers[J].Journal of Economic Behavior&Organization,2009,70(3):470-484.
[22]Mellers B A,Schwartz A,Cooke A D J.Judgment and Decision Making[J].Annual Review of Psychology,1998,49:447-477.
[23]Miner F C.Group Versus Individual Decision Making:An Investigation of Performance Measures,Decision Strategies,and Process Losses/Gains[J]. Organizational Behavior and Human Performance,1984,33:112-124.
[24]Prather L J,Middleton K L,Cusack A J.Are N+1Heads Better than One?The Timing and Selectivity of Australian-Managed Investment Funds[J].Pacific-Basin Finance Journal,2001,9(4):379-400.
[25]Prather L J,Middleton K L.Are N+1 Heads Better than One?The Case of Mutual Fund Managers[J].Journal of Economic Behavior&Organization,2002,47(1):103-120.
[26]Prather L J,Bertin W J,Henker T.Mutual Fund Characteristics,Managerial Attributes,and Fund Performance[J].Review of Financial Economics,2004,13(4):305-326.
[27]Prather L J,Middleton K L.Timing and Selectivity of Mutual Fund Managers:An Empirical Test of the Behavioral Decision-Making Theory[J].Journal of Empirical Finance,2006,13(3):249-273.
[28]Sah R K,Stiglitz J E.Committees,Hierarchies,and Polyarchies[J].Economic Journal,1988,98:451-470.
[29]Sharpe W F.Mutual Fund Performance[J].Journal of Business,1966,39(1):119-138.
[30]Sheremeta R M,Zhang J.Can Groups Solve the Problem of Over-Bidding in Contests?[J].Social Choice and Welfare,2010,35(2):175-197.
[31]Treynor J L,Mazuy K.Can Mutual Funds Outguess the Market?[J].Harvard Business Review,1966,44:131-136.
[32]Turner J C,Abrams D,Wetherell M,et al.Knowing What to Think by Knowing Who You Are:Self-Categorization and the Nature of Norm Formation,Conformity and Group Polarization[J].British Journal of Social Psychology,1990,29(2):97-119.
[33]Vollrath D A,Sheppard B H,Hinsz V B,et al.Memory Performance by Decision Making Groups and Individuals[J].Organizational Behavior and Human Decision Processes,1998,43(3):289-300.
[34]Zhang J,Casari M.How Groups Reach Agreement in Risky Choices:An Experiment[J].Economic Inquiry,2012,50(2):502-515.