开放式基金收益驱动下的投资管理实证研究

The Research in Performance-driven Behavior of Open-end Fund Managers

截至2015年1月底,开放式基金在总规模上占据了基金市场90%以上的份额,其中股票型开放式基金总额占据了开放式基金总额的90%。股票型开放式基金经理的投资决策对股票型基金的收益起到关键的作用,研究基金经理的投资特征是必要的。文中通过多角度衡量基金的收益,统计基金交易数据,计算基金的换股率、周转率和基金经理的选股能力指标来研究基金经理的投资决策与基金历史收益的关系。研究表明,历史收益较好的基金,具有较好的选股能力,基金的换股率和周转率都较高,同时保证基金的偏度不至于放大,有效地控制了风险。同时,通过研究得到,投资经验较少,学历高的男性基金经理的投资风格更为冒险。

By the end of January in 2015,open- end funds take up over 90% of funds market. Stock funds account for about 90% in the open- end funds. The fund managers’ decision plays a crucial role in profits of funds. Therefore it is necessary to research on the investment style of fund managers. In this paper,it investigates the relationship between the return in the past and the invest behavior in the future. In this paper,it uses several ways to measure returns and analyzes day trading data,and calculates stock change rate,turnover rate and security selecting ability. The research shows,mutual funds that got better returns will have better ability to choose stocks and their change rate of stocks and turnover rate of stocks will be higher. Besides,those funds could control their risk,with lower skewness. In the meanwhile,this paper found that male managers who have less experience and higher degree prefer to risky strategy.