基金家族的绩效与风险及相关关系研究
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摘要
近年来，随着中国基金业的飞速发展，基金家族已经成为基金市场最重要的存在形式，受到越来越广泛的关注。基金家族内部各基金之间存在着错综复杂的关系，既相互竞争又相互合作，在提高基金市场平均收益的同时也加大了基金市场的波动性。基金家族的整体绩效和风险是基金家族所有投资者效益和风险的集中体现：一方面，单只基金作为基金家族的一个成员，其业绩表现以及风险状况等必然会受其所在基金家族影响；另一方面，家族绩效和风险将影响投资者对基金家族内单只基金的认知，进而影响投资者的决策。基金家族成员的投资风格趋同和投资风格漂移，以及基金家族所属基金管理公司的股权结构对家族绩效和风险都有着显著的影响。由此可见，开展基金家族绩效与风险的研究具有重要的理论价值和现实意义。
针对当前基金相关文献大多只是基于单只基金层面的绩效和风险研究的片面性和局限性，以及基金绩效与风险关系研究的匮乏性，本文对基金家族的绩效、风险、投资风格漂移和所属基金管理公司股权结构等对二者的影响，以及这它们之间的关系进行定量研究。
本文首先进行相关理论分析，从定性角度剖析有关基金和基金家族的基本问题，包括基本概念，与绩效评价相关的资本资产定价理论、套利定价理论和数据包络分析理论，以及与风险分析相关的信息不对称理论、委托代理理论、投资者有限注意理论和投资组合理论，从而为基金家族绩效和风险的研究奠定基础。然后，选取中国证券市场2006年1月1日前推出的96只开放式偏股型基金构成的31个基金家族为研究对象，以基金的期初单位净值、单位运营费用、收益率标准差为输入变量，基金净值增长率、平均收益率和Sharpe比率为输出变量，采用超效率DEA方法评价基金家族绩效；根据投资组合的思想，结合多元t-Copula联合分布函数在刻画相关关系方面的优势和VaR风险测度法度量下方风险的特点，构建一个t-Copula-VaR模型，度量基金家族风险；采用基于风格分析模型的SDS方法测量投资风格漂移程度，利用测量结果分析投资风格漂移对基金家族绩效和风险的影响；构建截面回归模型，分析基金管理公司股权机构对基金家族绩效和风险的影响；考虑不同经济形势的影响，采用回归分析法研究金融危机前、危机期间和危机后基金家族绩效与风险之间的关系。最后，总结基金家族发展存在的问题以及未来发展趋势，并在此基础上提出中国市场基金家族发展的3大创新策略。
基金家族绩效评价的研究结果表明，在研究期间中国市场各基金家族之间绩效差距较大，且大部分基金家族为DEA无效，此外基金家族在绩效持续性方面并没有表现出统一的特征；在基金家族风险度量研究中，多元t-Copula函数的非正态、非线性相关系数矩阵的计算结果显示，同一基金家族内部各成员基金之间存在较强的相关关系，并且基金家族所含基金的数目的多少对于整个基金家族的风险值的大小并无显著的影响；基金家族投资风格漂移对基金家族绩效和风险的影响研究表明，基金家族的投资风格漂移程度较大，它与基金家族绩效是负相关的，而与家族风险水平则是正相关的，并且基金家族绩效和风险具有明显的持续性；基金管理公司股权结构对基金家族绩效和风险的影响研究表明，中国市场基金家族绩效和风险与所属基金管理公司股权集中度均呈现U型关系。此外，基金管理公司第一大股东控制力的增强以及外资的引入有助于提升基金家族绩效，但也会使基金家族面临更大的风险；基金家族风险与绩效的关系研究结论显示，不同的经济形式下二者表现出不同的相关关系，金融危机之前和危机期间两者显著负相关，而危机之后两者关系不显著。
In recent years, Chinese fund industry has made rapid development, and fundfamily has become the most important existing form in the fund industry. It gets moreand more extensive attention and becomes a hot issue. The relationships among fundfamily members are complicated, both competition and cooperation, which increasingthe average income and the market volatility of fund market. The overall performanceand risk of fund family are concentrated expression of benefit to all the investors of thefund family. On one hand, single fund as a member of the family fund, its performanceand risk condition are influenced by fund family. On the other hand, family performanceand risk will affect investors' cognition to single fund and affect investors' decision-making. The investment style and shareholding structure of the fund family have asignificant influence on performance and risk. Thus, the research on performance andrisk of fund family and their relationship has important theoretical and practicalsignificance.
In view of the current fund research, only based on single fund levels of fu ndperformance and fund risk are one-sided and limited, and studies on the relationshipbetween fund performance and risk are few. This dissertation studies on fund familyperformance and risk, the influence of investment style drift and shareholding structureon both fund family performance and risk, and the relationship between them. The mainresearch contents are as follows:
Firstly, this dissertation analyzes the related theories, makes qualitative analysisabout fund and fund family' related basic theory, including the basic concepts,performance evaluation related theories of Capital Asset Pricing theory, ArbitragePricing theory, Data Envelopment Analysis theory, and risk analysis related theories ofInformation Asymmetry theory, Principal-Agent theory, Limited Rational theory andPortfolio theory. All these lay foundation for the research about family fundperformance and risk. Secondly, this dissertation selects31fund families comprised by96funds established before January1,2006, adopting super-efficiency DEA model toevaluate fund family performance by taking initial unit net value, unit operating costs,yield standard deviation as the input variables, and taking the net value growth rate, theaverage yield and the Sharpe ratio as the output variables; according to the idea ofportfolio, this dissertation combines the advantage of multivariate t-Copula joint distribution with VaR risk measure method and builds a t-Copula-VaR model to metricfund family risk; After that, this dissertation adopt SDS method to measure investmentstyle drift degree, then use the results to analysis the effect of investment style drift tofund family performance and risk; and then analyse the effect of fund managementcompany's ownership structure to fund family performance and risk by constructingcross-section regression models; consider the influence of different economic situation,regression analysis method is applied to analyse the relationship between family fundperformance and risk. Finally, summarize fund family development problems and futuredevelopment tendency, and put forward three innovation strategies to the furtherdevelopment of China's fund family.
The empirical results of fund family performance shows that there is a wide gapbetween the performances of fund families during the evaluation period, and most of thefund families is in an invalid state, and fund families do not show the samecharacteristics about the consistency of performance; In the fund family risk study, theresults of non-normality and non-linear correlation matrix calculated by multivariatet-Copula function shows that strong relationship exists among the inner members of thesame fund family, and for a fund family, the number of fund has no significant impacton the total risk value of the fund family; The impact of fund family investment styledrift on fund family performance and risk studies shown that the fund family'sinvestment style drifted greatly, the correlation between it and fund family performanceis negative, and with the family risk level is positively related, and fund familyperformance and risk are obvious persistent; And it is shown that the relationshipsbetween fund management company's ownership structure and fund family performanceand risk present to be “U”, in addition, the enhancement of the control of the first bigshareholder as well as the introduction of foreign capital will improve the performanceof fund family, but also will make fund family face greater risk; The fund family riskand performance relationship research shows that under different economiccircumstances the relationships are different. Fund family performance and fund familyrisk were negatively related before and during the financial crisis while they are notsignificantly related after the financial crisis.
针对当前基金相关文献大多只是基于单只基金层面的绩效和风险研究的片面性和局限性，以及基金绩效与风险关系研究的匮乏性，本文对基金家族的绩效、风险、投资风格漂移和所属基金管理公司股权结构等对二者的影响，以及这它们之间的关系进行定量研究。
本文首先进行相关理论分析，从定性角度剖析有关基金和基金家族的基本问题，包括基本概念，与绩效评价相关的资本资产定价理论、套利定价理论和数据包络分析理论，以及与风险分析相关的信息不对称理论、委托代理理论、投资者有限注意理论和投资组合理论，从而为基金家族绩效和风险的研究奠定基础。然后，选取中国证券市场2006年1月1日前推出的96只开放式偏股型基金构成的31个基金家族为研究对象，以基金的期初单位净值、单位运营费用、收益率标准差为输入变量，基金净值增长率、平均收益率和Sharpe比率为输出变量，采用超效率DEA方法评价基金家族绩效；根据投资组合的思想，结合多元t-Copula联合分布函数在刻画相关关系方面的优势和VaR风险测度法度量下方风险的特点，构建一个t-Copula-VaR模型，度量基金家族风险；采用基于风格分析模型的SDS方法测量投资风格漂移程度，利用测量结果分析投资风格漂移对基金家族绩效和风险的影响；构建截面回归模型，分析基金管理公司股权机构对基金家族绩效和风险的影响；考虑不同经济形势的影响，采用回归分析法研究金融危机前、危机期间和危机后基金家族绩效与风险之间的关系。最后，总结基金家族发展存在的问题以及未来发展趋势，并在此基础上提出中国市场基金家族发展的3大创新策略。
基金家族绩效评价的研究结果表明，在研究期间中国市场各基金家族之间绩效差距较大，且大部分基金家族为DEA无效，此外基金家族在绩效持续性方面并没有表现出统一的特征；在基金家族风险度量研究中，多元t-Copula函数的非正态、非线性相关系数矩阵的计算结果显示，同一基金家族内部各成员基金之间存在较强的相关关系，并且基金家族所含基金的数目的多少对于整个基金家族的风险值的大小并无显著的影响；基金家族投资风格漂移对基金家族绩效和风险的影响研究表明，基金家族的投资风格漂移程度较大，它与基金家族绩效是负相关的，而与家族风险水平则是正相关的，并且基金家族绩效和风险具有明显的持续性；基金管理公司股权结构对基金家族绩效和风险的影响研究表明，中国市场基金家族绩效和风险与所属基金管理公司股权集中度均呈现U型关系。此外，基金管理公司第一大股东控制力的增强以及外资的引入有助于提升基金家族绩效，但也会使基金家族面临更大的风险；基金家族风险与绩效的关系研究结论显示，不同的经济形式下二者表现出不同的相关关系，金融危机之前和危机期间两者显著负相关，而危机之后两者关系不显著。
In recent years, Chinese fund industry has made rapid development, and fundfamily has become the most important existing form in the fund industry. It gets moreand more extensive attention and becomes a hot issue. The relationships among fundfamily members are complicated, both competition and cooperation, which increasingthe average income and the market volatility of fund market. The overall performanceand risk of fund family are concentrated expression of benefit to all the investors of thefund family. On one hand, single fund as a member of the family fund, its performanceand risk condition are influenced by fund family. On the other hand, family performanceand risk will affect investors' cognition to single fund and affect investors' decision-making. The investment style and shareholding structure of the fund family have asignificant influence on performance and risk. Thus, the research on performance andrisk of fund family and their relationship has important theoretical and practicalsignificance.
In view of the current fund research, only based on single fund levels of fu ndperformance and fund risk are one-sided and limited, and studies on the relationshipbetween fund performance and risk are few. This dissertation studies on fund familyperformance and risk, the influence of investment style drift and shareholding structureon both fund family performance and risk, and the relationship between them. The mainresearch contents are as follows:
Firstly, this dissertation analyzes the related theories, makes qualitative analysisabout fund and fund family' related basic theory, including the basic concepts,performance evaluation related theories of Capital Asset Pricing theory, ArbitragePricing theory, Data Envelopment Analysis theory, and risk analysis related theories ofInformation Asymmetry theory, Principal-Agent theory, Limited Rational theory andPortfolio theory. All these lay foundation for the research about family fundperformance and risk. Secondly, this dissertation selects31fund families comprised by96funds established before January1,2006, adopting super-efficiency DEA model toevaluate fund family performance by taking initial unit net value, unit operating costs,yield standard deviation as the input variables, and taking the net value growth rate, theaverage yield and the Sharpe ratio as the output variables; according to the idea ofportfolio, this dissertation combines the advantage of multivariate t-Copula joint distribution with VaR risk measure method and builds a t-Copula-VaR model to metricfund family risk; After that, this dissertation adopt SDS method to measure investmentstyle drift degree, then use the results to analysis the effect of investment style drift tofund family performance and risk; and then analyse the effect of fund managementcompany's ownership structure to fund family performance and risk by constructingcross-section regression models; consider the influence of different economic situation,regression analysis method is applied to analyse the relationship between family fundperformance and risk. Finally, summarize fund family development problems and futuredevelopment tendency, and put forward three innovation strategies to the furtherdevelopment of China's fund family.
The empirical results of fund family performance shows that there is a wide gapbetween the performances of fund families during the evaluation period, and most of thefund families is in an invalid state, and fund families do not show the samecharacteristics about the consistency of performance; In the fund family risk study, theresults of non-normality and non-linear correlation matrix calculated by multivariatet-Copula function shows that strong relationship exists among the inner members of thesame fund family, and for a fund family, the number of fund has no significant impacton the total risk value of the fund family; The impact of fund family investment styledrift on fund family performance and risk studies shown that the fund family'sinvestment style drifted greatly, the correlation between it and fund family performanceis negative, and with the family risk level is positively related, and fund familyperformance and risk are obvious persistent; And it is shown that the relationshipsbetween fund management company's ownership structure and fund family performanceand risk present to be “U”, in addition, the enhancement of the control of the first bigshareholder as well as the introduction of foreign capital will improve the performanceof fund family, but also will make fund family face greater risk; The fund family riskand performance relationship research shows that under different economiccircumstances the relationships are different. Fund family performance and fund familyrisk were negatively related before and during the financial crisis while they are notsignificantly related after the financial crisis.
引文
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