相对业绩差距评估对基金经理风险承担的激励研究

The Influence of Relative Performance Gap Evaluation on the Risk Taking of Fund Manager

基金经理在选择投资组合风险时,不仅会考虑基金的业绩排名,同时会考虑基金业绩之间的差距,由此提出了业绩差距排名,并提出了新的实证方法,即线性回归的方法来研究业绩差距排名对基金经理风险承担的影响,同时验证了BHS结论在中国基金市场中的适用性。结果表明BHS结论在中国基金市场中是不成立的,同时表明在中国基金市场中基金经理具有相对业绩排名目标,但此相对业绩排名是本文中所提出的业绩差距排名,此结论可以为监管部门规范基金投资行为以及为投资者选择基金提供参考。

This paper considers that when the manager chooses the risk of portfolio, he will consider the performance rank of fund and the performance gap of every fund. So the performance gap rank and a new empirical method （linear regression method） are used to study the influence of relative performance gap rank on the risk taking of fund manager and to proves the adaptability of BHS conclusion in the Chinese fund market at the same time. The conclusion of the research shows that the BHS conclusion is not tenable in the Chinese fund market. At the same time, this paper shows that fund manager has the relative performance rank objective in the Chinese fund market, but the relative performance rank is as same as the performance gap rank proposed by this paper. The conclusion can provide a reference for administrators to regulate the investor behavior of fund and for investor to select fund.