基金经理的“走”与“汰”——基于权益类基金的实证证据

Mutual fund managers:Promotion or demotion——New evidence from equity fund managers in China’s financial market

本文手工收集整理了2005至2019年各年度中国权益类基金经理变更信息并追踪基金经理离职去向,将离职基金经理分为被动离职和主动离职两类,检验投资业绩对基金经理离职的影响.实证研究发现:1)投资业绩越落后的基金经理被动离职概率越高,投资业绩越优秀的基金经理主动离职概率越高,被动离职受短期相对业绩影响更大而主动离职的主因是中期绝对业绩.2)基金经理离职会受到市场环境影响,牛市期间存在基金经理主动离职概率与业绩负相关的异象,进一步研究表明牛市期间大量业绩一般基金经理“公奔私”是导致异象的原因.3)业绩落后的基金经理管理规模越大,被动离职概率越高;业绩优秀的基金经理管理规模越小,主动离职概率越高,这一现象由基金经理“管理规模-管理能力”不匹配所致.4)基金经理主动离职前后短期业绩不具有持续性.本文研究结论丰富了基金治理领域的文献,反映出我国公募基金行业业绩考核和薪酬体系存在不足,对基金行业未来发展具有一定借鉴意义.

By manually collecting the data of China ’s equity mutual fund managers’ turnover from 2005 to 2019,and tracking where the resigning fund managers go,this paper divides resigning fund managers into two categories: "Promotion " and "Demotion" and researches the impact of investment performance on the career of fund managers.The results show that:1) Fund managers with excellent performance and poor performance both have a high turnover rate.The fund managers with worse investment return will have the higher probability to be demoted,while the fund managers with better investment return will have the higher probability to be promoted.The "Demotion " mechanism is related with the relative and short-term performance.The "Promotion" mechanism is related with the absolute performance and long-term performance.2) There is a significant negative correlation between fund managers’ probability to be promoted and their performance during the bull market.Further research shows that lots of mutual fund managers with mediocre performance resign and go to private fund companies during the bull market,which is the reason for the anomaly.3) The mismatch of "scale-skill" of fund managers has an impact on their demission.The bigger the management scale is,the higher the probability to be demoted for the fund manager with worse performance.The smaller the management scale is,the higher the probability to be promoted for the fund manager with better performance.4) The performance of fund managers is not sustainable before and after "Promotion".This paper enriches the literature in the field of fund governance and reflects the shortcomings of performance evaluation and compensation system designing in China ’s public fund industry,which can be used as a reference for the future development of fund industry.