基金现金流与投资者实际回报--对投资者择时能力的实证研究

Fund Flows and Investor Return:Empirical Research of Chinese Investor Timing Ability

“基金赚钱基民不赚钱”一直是学术界和实务界的共识。以中国权益性开放基金为样本,区分个人投资者和机构投资者,研究他们的择时能力。研究发现:(1)个人投资者的择时交易明显降低了其实际投资回报,印证了“基金赚钱基民不赚钱”的现象。机构投资者的择时能力在第一阶段(2005—2013年)明显高于个人投资者,但在第二阶段(2014—2021年)差异不明显。(2)基金投资者的择时能力与挑选优秀基金经理的能力一定程度上正相关,管理费率越高的基金产品,基金投资者的择时能力越强。(3)在整个阶段(2005—2021年),基金投资者对整个基金行业的择时能力较弱,但对不同基金产品的横向配置能力较强。

"Funds make money but fund investors lose money"has been the consensus in academia and practice.We use the difference between dollar-weighted return and geometric average return to represent the fund investor's timing ability.Our sample covers 5964 actively managed open-ended equity funds from 2005 to 2021.First,we find individual fund investor timing decisions reduce fund investor average returns by 3.59%annually,which confirms the phenomenon that"funds make money but fund investors lose money".Institutional fund investor timing decisions reduce fund investor average return by 0.26%annually,which perform much better than individual fund investor.Second,Underperformance due to poor timing is greater in funds with higher management fees and relatively small risk-adjusted returns.Last,we decompose the dollar-weighting effects into cross-sectional effects and times-series effects.Over 2005-2021 times-series effect dominates cross-sectional effects in our sample.