基金经理个人特征与基金风险

The Relationship Between Fund Managers’Individual Characteristics and Fund’s Risk-taking

利用2005—2018年我国股票型基金和偏股混合型基金作为研究对象,探讨了基金经理个人特征对基金风险承担的影响。通过实证分析发现,基金经理个人特征对基金整体风险承担水平有显著影响。进一步研究发现,影响基金经理整体风险承担水平的作用机理也存在一定的差异,如基金经理从业年限和任期主要通过控制系统性风险来影响投资组合的整体风险,学历教育和性别差异主要通过控制非系统性风险来影响投资组合的整体风险,研究员背景和职业教育同时影响基金的系统性风险和非系统性风险。另外,基金经理任期、研究员背景、硕士学历对女性基金经理无显著影响;从业年限长、拥有职业证书的女性基金经理通过降低系统性风险构建风险较低的投资组合;而具有博士学历的女性基金经理有显著增加投资组合非系统性风险的倾向。这些结论对于投资者和基金管理公司有着重要的参考价值。

This paper takes China’s public equity funds and stock-leaning funds from 2005 to 2018 as research objects and studies the impact of managers’characteristics on fund risks.Through empirical analysis,this paper finds that fund managers’individual characteristics have a significant impact on their overall risk-taking.Furthermore,the influencing mechanism of managers’characteristics on overall risks is different.For example,managers’experience and tenure is mainly through the control of systemic risks to influence the overall risk-taking,academic education and gender is mainly through the control of non-systemic risks to influence the overall risk-taking,and the researcher’s background and vocational education have both impact on systemic and non-systemic risks.Meanwhile,managers’tenure,researcher’s background and master’s degree have no significant influence on female managers.The female managers who are experienced with professional certificates can build portfolios with low risks by reducing systemic risks.Female managers with PhD degree also have a significant tendency to increase the non-systemic risk of their portfolios.These conclusions have important reference value for investors and fund management companies.