基金家族造星策略有效性与主体识别研究——基于明星基金与晨星基金经验数据的比较

Effectiveness of Fund Families' Creating-star Strategy and Subject Identification——Based on the Comparing Data of Star-funds and MS Funds

基于2007—2013年国内主动型股票类基金中明星基金与晨星基金相关数据,通过建立检验明星绩效对家族资金流动影响的固定效应面板数据模型和考察明星绩效概率与家族特征关系的Logit模型,可实证检验基金家族造星策略的有效性和对家族造星主体进行识别。研究发现,家族造星策略所产生的明星绩效对基金家族新资金流入能产生溢出效应,即明星基金和晨星基金不仅会为自身吸引更多资金流入,而且还会为其所在的同一基金家族中其他成员基金带来新资金流入,这说明家族造星策略对扩大家族资金规模和提升基金家族市场竞争力显著有效;基金间绩效标准差高、基金数量多且尚无明星绩效的基金家族更可能会主动追逐家族造星策略;比较研究结果显示,在以晨星基金作为评价体系的现实基金市场中家族造星策略有效性和造星家族主体识别特征表现的尤为显著。

Basing on the data of Star funds and Morning-star funds in 2007--2013, with the fixedeffect panel data model for testing the impact of star performance on the family cash flow and with a Logitmodel to examine the relative family characteristics that could improve the possibility of star performance,this paper empirically examines whether the family creating-star strategy is effective and how to find thecreating-star fund families. The results show that the star funds have the spillover effect to the family cashflow, in other words, star funds not only bring significant new money net cash inflow to themselves, butalso attract more new money to other funds in the same fund family. It is shown that the families＇ crea-ting-star strategy can expand the sum of fund families and improve the families＇ competitive power. Thehigher is cross-fund standard deviations of performance, the more is number of fund belong to family andthe more impossible is having a star fund in the last year, the higher is the probabilities of creating-fund.Finally, the result also shows that the families＇ creating-star strategy is more effective and the characteris-tics of creating-star families is more significant in the MS funds.