我国基金家族风险调整行为的实证研究

Empirical Study of Risk Adjustment Behavior in Chinese Fund Families

本文选取我国2008年12月31日之前成立的偏股型基金,研究了2006年1月1日至2009年12月31日期间,基金家族内部基金经理根据每年前期家族内部业绩排名而对后期风险进行调整的行为,发现在基金家族内部前7个月排名靠后的基金,后期会显著增大投资组合风险,说明我国基金家族内部存在基金竞赛,即前期排名靠后的基金经理后期倾向于选择高风险高收益的投资组合。进一步研究发现,这种风险选择行为与基金家族的大小呈正相关关系,即大家族内部基金竞赛行为更显著。

In this paper we select the Chinese stock funds that established before December 31st, 2008, and examine if there is any intra-firm competition in mutual fund families. We find that the loser in the former seven months significantly increase the portfolios＇ risk in the later months of the year, which means that the fund managers adjust the risk according to the relative rank of performance within the family. Furthermore, we find that the risk adjustment behavior in the large families seems to be more significantly than that in the small ones.