从竞赛观点探讨基金经理人的风险调整行为

竞赛假说将共同基金的市场环境比喻为一项持续、激烈的年度竞赛。本文探讨定期绩效评估系统对于基金经理人所持投资组合风险调整的影响,以检验其是否具有自利性风险调整的行为倾向。研究结果发现:国内基金市场的竞争日趋激烈,基金公司数目日益增加,业绩相对较差的基金经理人有加大风险调整比率的倾向。此外,新基金对投资风险的调整程度,会比老基金来得大。

According to competition hypothesis, market conditionsfor mutual funds is sort of continuous and fierce annualcompetition. This paper is a review of the impact of periodicperformance appraisal system on the portfolio risk adjustment offunds managers, so as to test its ability of risk adjustment. Studiesreveal that given the increasingly fierce market competition andrising number of fund managing companies, funds managers withless satisfying performance tend to increase their rate of riskadjustment. What is more, risk adjustment is usually greater withnew funds managing companies.