基金利益冲突与管理努力替代——基于基金经理“一拖多”现象的研究

Research on Conflicts of Interest and Managerial Effort Substitution under Multi-tasking Management of Fund

本文研究了基金经理同时管理新老两只基金的"一拖多"情况,发现"一拖多"时存在业绩转移现象,基金经理以牺牲老基金为代价,将业绩转移给新基金。其原因是基金经理的管理努力替代,具体表现在新老基金间不同的持股组合,尤其是新基金普遍获得更多的新投资机会。而管理努力替代和激励机制之间存在直接的关系,新老基金资金流-业绩敏感度的非对称激励影响着新老基金管理努力替代,使得基金经理花费更多努力在新基金上。

This paper studies the multi-tasking management of fund manager who manages two funds with one new and one old at the same time,and we found a significant performance shift phenomenon in the multi-tasking management, benefit will be transferred to the new fund at the expense of the old one. The cause of that is the fund manager＇s managerial effort substitu- tion, specifically reflect in the way that portfolio holdings is distinct between the new and old funds, especially the new funds generally have more new investment opportunities. And there is direct relationship exists between managerial effort substitution and incentive mechanism. Asymmetric incentive of fund flow-performance sensitivity of the new and old funds have influence on managerial effort substitution between new and old fund,as result fund managers will spend more effort in the new fund.