基金费用结构对基金经理投资策略的影响研究

The Impact of Fee Structure on Fund Managers’ Investment Strategies

本文研究发现基金的费用结构会影响基金经理的投资策略选择。激励费用结构会驱使基金经理选择正向波动择时策略,但基金风格也会影响基金经理的风险水平选择,在控制基金风格后,本文依旧发现存在这样的关系。研究同时发现,选择正向波动择时策略的基金相对有较高的超额收益、夏普比率和alpha;且对于开放式股票型基金(固定费用结构基金)样本,波动择时策略和基金流择时策略是相互替代的策略。建议我国提高激励费用结构型基金的比例。

It is found that the fee structure can impact the fund manager＇ s investment strategies. The Incentive fee structure will drive fund managers to choose positive volatility timing strategies, and the fund style will also affect the choice of risk level. After controlling the effect of fund style, the relationship still hold. It is also found that the positive volatility timing strategy will bring higher abnormal return, Sharp Ratio and Jensen＇ s alpha. For the open stock fund sample, the volatility timing strategy and fund flow timing strategy are substitutes. It is suggested that we can increase the portion of incentive fee structure fund.