衍生品交易可以提高基金价值吗?——基于中国开放式基金的证据

The Relationship Between Derivative Investment and Fund Performance Evidence Related to China Open-ended Fund

本文对于中国开放式基金市场的研究发现,投资金融衍生品的基金与不投资金融衍生品的基金相比,具有较高的风险调整收益率、超额收益率和收益波动率。以权证为主的金融衍生品在有效提高基金价值和盈利能力的同时也增大了基金收益的波动风险。投资者对投资金融衍生品的基金予以正向反应,投资金融衍生品的基金会得到更高的下一期现金流,可能的解释是投资者认为投资金融衍生品可以代表更高的管理能力和更优的资产配置水平。

This paper finds that, in the Chinese open-ended fund market, funds that have invested in derivatives show a relatively higher risk-adjusted return, abnormal return and daily return volatility than funds that do not invest in derivatives, which result in a higher profitability as well as higher risk. Investors react to the usage of derivatives with more cash inflow, and possible explanation is that investor consider the usage of derivatives a representation of higher management ability and more optimal asset allocation.