基金业绩与基金经理风险调整行为——来自银行系基金的证据

Fund Performance and Risk Shifting:Evidence fromBank-Affiliated Funds in China

基金公司通过相对业绩排名考核基金经理,基金经理会根据前期业绩排名调整投资组合的风险水平。我国商业银行及其控股的基金管理公司在金融市场占据举足轻重的地位,基于股东影响基金经理投资行为的角度,文章对比了银行系与非银行系基金经理风险调整行为的差异。以2005—2020年中国开放式股票型和偏股混合型基金为样本,考察了业绩排名对基金经理风险调整行为的影响。研究发现,银行系基金经理更在意业绩排名。当前期业绩较差时,银行系基金更有动力进行风险调整。另外,银行系基金风险调整对未来业绩产生更显著的正向影响,且具有更强的业绩持续性。通过比较发现,银行系基金的离职率更低且团队更稳定,可以更加主动地进行策略选择和投资组合调整。该发现扩展了基金风险调整行为的研究,也对基金投资具有一定的参考意义。

The fund management company assesses the fund manager through the relative performance rankings.The fund managers adjust the risk level of the portfolio according to the previous performance rankings.China’s commercial banks and their affiliated fund management companies take a pivotal position in the financial market.Based on the perspective of shareholders affecting the investment behavior of fund managers,this paper compares the difference of risk-shifting behavior between bank-affiliated and unaffiliated fund managers.Taking sample of open-end equity and partial equity hybrid funds from 2005 to 2020,this paper investigates the impact of historical performance on the risk shifting of fund managers.It suggests that bank-affiliated fund managers are more concerned about fund performance so that they are more motivated to carry out risk adjustment.In addition,the risk shifting of bank-affiliated funds has a more significant positive impact on future performance.Furthermore,it is found that bank-affiliated funds have a lower dismissal rate and their research team is prone to be stable,so they are active in stock selection and risk adjustment.The findings of this paper not only expand the research on risk shifting behavior,but also have a certain reference significance for fund investment.