基金合作持股、业绩表现与投资者选择

Fund Cooperative Shareholding,Performance and Investor Selection

本文基于中国2006-2021年公募基金数据,利用两期Louvain算法和序数收益率构建的资金流量一业绩敏感性指标,检验了基金合作持股对投资者偏好的影响作用。研究发现,基金合作持股可以显著提高投资者认可度,降低投资者“非理性”交易带来的极端赎回风险,且其影响在区分基金不同业绩表现后存在显著差异。进一步分析表明,合作基金的单位风险收益较低,提高原始超额收益的同时却增加了投资者相同收益条件下的业绩下行风险。

Based on China's public fund data during 2006-2021,this paper uses the two-stage Louvain algorithm and ordinal returns to construct a fund flow-performance sensitivity index to test the impact of fund cooperative shareholding on investor preferences.It is found that fund cooperative shareholding can significantly increase the investor recognition and reduce the extreme redemption risk caused by"irrational"transactions,and this impact varies significantly in different fund groups divided by distinguishing fund performance.Further analysis shows that the unit risk return of cooperative funds is relatively low,which increases the original excess return while increasing the downside risk of performance for in-vestors under the same return conditions.