资金流波动、基金流动性配置与基金业绩

Cash Flow Volatility, Mutual Fund Liquidity Allocation and Performance

现有关于基金资金流的研究多聚焦于基金业绩与资金流的关系,缺乏以基金作为代理中介将资金流与基金资产流动性特征联系起来的分析。本文利用我国开放式基金2005~2015年的数据,考察了基金是否会调整资产组合的流动性以应对资金流的不确定性。研究结果显示,当基金资金流波动较大时,基金倾向于持有更多现金以应对可能出现的大规模赎回,并且规模大的基金持有现金的比例更大;同时,基金会减少高流动性股票的比例并提升低流动性股票的比例。该结果表明当投资者急需流动性时,基金会选择卖出流动性较高的股票以获取现金,保留流动性较差的股票以获取更高的流动性溢价,进而弥补因增持现金产生的机会成本。实证分析还显示,上述资产配置策略并未有效改善基金绩效,当基金资金流波动增大时基金业绩会显著变差,大规模基金尤其如此。本研究有助于更好地理解基金的流动性管理和风险补偿机制。

The existing researches on the fund cash flow focus on the correlation and sensitivity between the cash flow and the fund performance. The researches lack the analysis of the relationship between fund cash flow and fund liquidity allocation that take the fund as agency. Using an unbalanced panel-data of fund＇s holdings details in China over the period 2005 to 2015, we study how cash flow volatility affects fund＇s liquidity allocation. Results confirm that when cash flow volatility is large, the fund tends to hold more cash to deal with possible large redemption and relative to the small size of the fund. Larger size funds tend to hold more cash. Fund doesn＇t hold more liquid stocks to respond to redemption, but rather to hold less liquid stocks and more illiquid stocks. The result shows that when fund investors redeem, the fund would sell part of the high liquidity stocks on one hand, and on the other, the fund would hold stocks that are more illiquid and more information asymmetry to get higher liquidity premium and make up for the opportunity cost of cash holdings. Further analysis shows that this allocation strategy has not improved the performance of the fund. Overall, when the volatility of fund cash flow increases, the fund performance would significantly decrease. Compared to the small size fund, the large size fund would be worse. The results of this study can deepen our understanding of the fund liquidity management.