“特立独行”能否“脱颖而出”——基于基金持仓分层的视角

Can"Mavericks""Stand out"--A Perspective Based on Fund Position Stratification

本文提出对基金持仓分层的分析方法,区分抱团基金与独立基金,研究基金持仓独立性对基金后续收益表现的影响及作用机制。研究表明:基金持仓独立性越高,未来的超额收益表现越出色,这种优异表现可以持续长达四个季度;相比于个人研究能力,基金独立性更多来源于基金公司的投研平台支持;独立基金拥有更强的选股能力和更多的私有信息,而择时能力表现较弱,也因此承担了较大的特质风险;相比全市场投资基金,赛道型基金独立性高时可以获得更好的表现,反映了专业化的投研能力。此外,研究还回顾比较了此前文献中同样基于持仓构造的抱团指标和网络中心度指标,结果表明本文提出的基金独立性指标具有更好的稳定性,在不同时期的业绩预测能力较为稳健。本文探讨了一个有效、稳健且易于理解的基金持仓分层分析框架,并且可以与现有的基金分析方法灵活结合使用,为评估基金表现、识别基金能力和加强行业监管提供了新的参考。

This paper proposes an analytical approach to stratifying fund positions,distinguishing between hold-out funds and independent funds,and investigating the impact of fund position independence on the subsequent fund re-turn performance and the mechanism of action.Research shows that the higher the independence of a fund's position,the better the future out performance,which can last up to four quarters;fund independence comes more from the fund company's investment research platform support than from individual research capabilities.Independent funds have stronger stock selection and more private information,while timing performance is weaker and therefore carry greater idiosyncratic risk;track funds can achieve better performance when they are highly independent compared to full market investment funds,reflecting specialized investment research capabilities.In addition,the study also reviews and compares previous holdout and network centrality indicators in the literature,which are also based on position con-struction,and the results show that the fund independence indicator proposed in this paper has better stability and is more robust in predicting performance over time.This paper explores an effective,robust and easy-to-understand framework for fund position stratification analysis and can be used flexibly with existing fund analysis methods,pro-viding a new reference for assessing fund performance,identifying fund capabilities and enhancing industry regulation.