兼职基金经理能做得更好吗?——基于中国基金行业的理论与实证研究
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摘要
在对基金经理行为影响基金绩效理论分析的基础上,采用风险厌恶二次效用函数结合风险中性线性效用函数刻画基金经理行为,模型推导结果发现,兼职基金经理会将大部分乃至全部精力投入于管理开放式基金,而忽略了封闭式基金的管理,兼职的开放式基金经理比专职开放式基金经理业绩好。模型结论得到经验数据的部分验证,即没有足够的证据表明兼职管理中的封闭式基金绩效比专职管理中的封闭式基金绩效更差。兼职管理的开放式基金绩效比专职管理的开放式基金绩效更好。研究结论对于基金公司人员配置、投资者选择基金等方面有重要借鉴意义。
Based on the theoretical analysis of the effect of fund managers' behavior on fund performance,this paper describes the behavior of fund managers with risk aversion quadratic utility function and risk neutral linear utility function. The result of model derivations shows that side-by-side fund managers will pour most or all energy into the management of openend funds and ignore the management of closed-end funds,and the side-by-side open-end fund managers have better performance than the full-time open-end fund managers. The result of the model is partly verified by empirical data,that is,there is not enough evidence to show that the performance of close-end funds in side-by-side management is worse than the performance of close-end funds in full-time management. The performance of open-end funds managed by side-by-side management is better than that of the open-end funds by full-time management. The conclusions of this paper have important reference significance for the personnel allocation of fund companies,the fund selection of investors and so on.
Based on the theoretical analysis of the effect of fund managers' behavior on fund performance,this paper describes the behavior of fund managers with risk aversion quadratic utility function and risk neutral linear utility function. The result of model derivations shows that side-by-side fund managers will pour most or all energy into the management of openend funds and ignore the management of closed-end funds,and the side-by-side open-end fund managers have better performance than the full-time open-end fund managers. The result of the model is partly verified by empirical data,that is,there is not enough evidence to show that the performance of close-end funds in side-by-side management is worse than the performance of close-end funds in full-time management. The performance of open-end funds managed by side-by-side management is better than that of the open-end funds by full-time management. The conclusions of this paper have important reference significance for the personnel allocation of fund companies,the fund selection of investors and so on.
引文
[1]WERMERS R.Mutual fund performance:an empirical decomposition into stock-picking talent,style,transactions costs,and expenses[J].Journal of finance,2000,55(4):1655-1695.
[2]SHARPE W F.Mutual fund performance[J].Journal of business,1966,39(1):119-138.
[3]GRUBER M J.Another puzzle:the growth in actively managed mutual funds[J].Journal of finance,1996,51(3):783-810.
[4]LEE C F,RAHMAN S.Market timing,selectivity,and mutual fund performance:an empirical investigation[J].Journal of business,1990,63(2):261-278.
[5]BERK J B,GREEN R C.Mutual fund flows and performance in rational markets[J].Journal of political economy,2004,112(6):1269-1295.
[6]张美霞.基金业绩、基金经理更换与投资者财富效应——一项基于我国资本市场的实证研究[J].山西财经大学学报,2007(9):98-105.
[7]任颋,邵景丽.基金经理更替,基金类型与基金业绩[J].山西财经大学学报,2012(7):26-37.
[8]赵秀娟,汪寿阳.基金经理在多大程度上影响了基金业绩?——业绩与个人特征的实证检验[J].管理评论,2010(1):3-12.
[9]陈利亚,邓超.增聘基金经理对我国开放式基金业绩影响的实证研究[J].中南大学学报(社会科学版),2011(3):11-15.
[10]彭文平,肖继辉.基于基金经理更换的激励约束效应研究[J].上海金融,2012(8):70-79.
[11]代昀昊.关于团队基金经理是否更具优势的比较研究[J].证券市场导报,2013(4):73-78.
[12]廖长友.基金资产配置的行业选择与基金业绩——基金经理投资能力的新证据[J].重庆大学学报(社会科学版),2013(4):53-59.
[13]廖海波.基金经理的运气、技能与业绩表现——基于bootstrap模拟的研究[J].中国地质大学学报(社会科学版),2015(3):108-113.
[14]NOHEL T,WANG Z J,Zheng L.Side-by-side management of hedge funds and mutual funds[J].Review of financial studies,2010,23(6):2342-2373.
[15]AGARWAL V,MA L,MULLALLY K.Managerial multitasking in the mutual fund industry[Z/OL].CFR working paper,2013,No.13-10.https://www.exonstor.eu/bitstream/10419/114470/1/833357166.pdf.
[16]彭文平,陈延.基金利益冲突与管理努力替代——基于基金经理“一拖多”现象的研究[J].投资研究,2015(4):129-142.
(1)由于封闭式基金的基金份额在基金合同期限内固定不变,而开放式基金的基金份额不固定,因此,如若开放式基金管理较好,将会吸引更多的投资者,从而基金规模进一步扩大,这样一来,基金经理所获得的管理费将会增加。故有0 (2)为了简化起见,得到奖金所赚取的效用以其所收到管理费替代。实际上这部分效用与基金经理收到的管理费用线性相关,并不影响求解的结果。
(3)开放式基金的收益率以各季度最后一个交易日的单位复权净值增减比作为计算标准,封闭式基金的收益率以各季度最后一个交易日的前复权收盘价增减比作为计算标准。
[2]SHARPE W F.Mutual fund performance[J].Journal of business,1966,39(1):119-138.
[3]GRUBER M J.Another puzzle:the growth in actively managed mutual funds[J].Journal of finance,1996,51(3):783-810.
[4]LEE C F,RAHMAN S.Market timing,selectivity,and mutual fund performance:an empirical investigation[J].Journal of business,1990,63(2):261-278.
[5]BERK J B,GREEN R C.Mutual fund flows and performance in rational markets[J].Journal of political economy,2004,112(6):1269-1295.
[6]张美霞.基金业绩、基金经理更换与投资者财富效应——一项基于我国资本市场的实证研究[J].山西财经大学学报,2007(9):98-105.
[7]任颋,邵景丽.基金经理更替,基金类型与基金业绩[J].山西财经大学学报,2012(7):26-37.
[8]赵秀娟,汪寿阳.基金经理在多大程度上影响了基金业绩?——业绩与个人特征的实证检验[J].管理评论,2010(1):3-12.
[9]陈利亚,邓超.增聘基金经理对我国开放式基金业绩影响的实证研究[J].中南大学学报(社会科学版),2011(3):11-15.
[10]彭文平,肖继辉.基于基金经理更换的激励约束效应研究[J].上海金融,2012(8):70-79.
[11]代昀昊.关于团队基金经理是否更具优势的比较研究[J].证券市场导报,2013(4):73-78.
[12]廖长友.基金资产配置的行业选择与基金业绩——基金经理投资能力的新证据[J].重庆大学学报(社会科学版),2013(4):53-59.
[13]廖海波.基金经理的运气、技能与业绩表现——基于bootstrap模拟的研究[J].中国地质大学学报(社会科学版),2015(3):108-113.
[14]NOHEL T,WANG Z J,Zheng L.Side-by-side management of hedge funds and mutual funds[J].Review of financial studies,2010,23(6):2342-2373.
[15]AGARWAL V,MA L,MULLALLY K.Managerial multitasking in the mutual fund industry[Z/OL].CFR working paper,2013,No.13-10.https://www.exonstor.eu/bitstream/10419/114470/1/833357166.pdf.
[16]彭文平,陈延.基金利益冲突与管理努力替代——基于基金经理“一拖多”现象的研究[J].投资研究,2015(4):129-142.
(1)由于封闭式基金的基金份额在基金合同期限内固定不变,而开放式基金的基金份额不固定,因此,如若开放式基金管理较好,将会吸引更多的投资者,从而基金规模进一步扩大,这样一来,基金经理所获得的管理费将会增加。故有0
(3)开放式基金的收益率以各季度最后一个交易日的单位复权净值增减比作为计算标准,封闭式基金的收益率以各季度最后一个交易日的前复权收盘价增减比作为计算标准。