“分散”还是“集中”?——基金持股组合的业绩研究

“Diversification” or “Concentration”? The Research on the Performance of Fund Holding Portfolio

投资组合理论认为基金经理应在投资组合中分散持股,这与当下部分中国基金经理的投资实践相悖。本文因此考察“分散”和“集中”两种持股策略,哪一种能使基金持股组合赢得优胜业绩?基于2004年上半年到2019年上半年中国主动型开放式基金的20 857个样本,发现无论是行业层面的集中持股,还是个股层面的集中持股,采用“集中”策略的基金持股组合赢得了更好的投资业绩。“集中”策略带来的优胜业绩在基金由团队管理、熊市、基金公司办公地位于中心城市时更突出。以上研究发现说明中国基金经理在某些行业和个股上具有优秀的投资能力,基金投资者可据此辅助投资决策。

Portfolio theory argues that fund managers should diversify holding stocks in investment portfolios, which is contrary to the investment behavior of some fund managers in China.Therefore, this paper focuses on the question that, to win outstanding performance, should fund managers choose diversified holdings or choose concentrated holdings? Based on the 20,857 samples of active open-end funds from the first half of 2004 to the first half of 2019 in China, this paper finds that concentrated holdings are conducive for fund managers to winning outstanding performance on stock portfolios both on industry level and on stock level.Furthermore, the outstanding performance of stock portfolio brought from the concentrated shareholding behavior is better when the fund is managed by team, market is in the bear, or the fund company is located in center cities.The above findings show that Chinese fund managers have excellent investment ability in few industries and individual stocks, and fund investors can make investment decisions based on them.