基于利益冲突化解的基金最优管理规模的确定

Optimal fund management size based on alleviation of interest conflicts

目前有关基金最优管理规模的讨论,几乎都没有考虑基金经理和投资者之间利益冲突的影响.为此,本文首先提出了化解基金经理和投资者之间利益冲突的三大原则,在此基础上提出了总潜在可能损失最小规模(即最小损失规模)的确定模型、以及基金生存区间等系列概念及其划分和确定方法;借此对2009年~2019年期间中国基金运营状况进行实证评判,主要结论如下:1)中国基金市场经历了管理规模严重过度(2009年~2013年)、管理规模接近生存区间(2014年~2016年)以及管理规模进入生存区间(2017年~2019年)3个阶段.2)在生存区间内,基金投资者报酬和总潜在可能损失对应的基金规模分别为倒U型和U型曲线,而基金经理报酬对应基金规模则是一条单调递增的曲线,并始终高于基金投资者报酬.3)在样本期内,处于非适宜生存区间的基金数量占比平均达90.8%,而位于生存区间内的基金仅占9.2%,其中位于职责承诺区间和相对公平区间的基金占比最小,表明中国基金市场运营稳健的基金比例较低,而且从信守承诺和相对公平的角度来评判,中国绝大多数基金经理不合格.依据本文结论,可通过不断提高基金经理能力和市场流动性水平改进和提升基金运营的稳健性和可持续性,同时应加强对职业基金经理人失信失诺行为的约束与监管.

At present,discussions on the optimal fund size always ignore the impact of interest conflicts between fund managers and investors.This paper first proposes three principles that resolve interest conflicts between fund managers and investors.On this basis,determination model of fund size under minimum total potential losses(i.e.the minimum loss size),as well as concepts for fund survival interval and their determination methods are also put forward.Based on the empirical evaluation of Chinese fund market during 2009-2019,the main conclusions are as follows.1)The fund size has experienced the transition from being severely over-sized(2009-2013),near to survival interval(2014-2016)and within the survival interval(2017-2019).2)Within the survival interval,the return of fund investors and the total potential loss corresponding to the fund size are inverted U-shaped curve and U-shaped curve respectively,while the fund managers’return is a monotonically increasing curve,and always higher than fund investors’return.3)Funds with a size beyond the survival interval account for 90.8%,while funds with a size within the survival interval account for 9.2%.Funds with a size within committed interval and relatively fair interval account for the smallest proportion,indicating that the proportion of funds with stable management in Chinse fund market is low,and the vast majority of Chinese fund managers are unqualified.According to conclusions,in order to improve the stability and sustainability of fund management,fund managers’ability and market liquidity should be enhanced,and at the same time,the restriction and supervision of fund managers should also be strengthened.