文档介绍：我国基金经理管理多只基金现象的研究
摘要
随着证券投资基金行业的发展,中国近年来出现了基金经理管理多
只基金的现象。这种现象可能会引起投资以及业绩的雷同,不利于分散
风险。本文的主要内容如下:
首先介绍了我国基金经理管理多只基金现象的研究背景和研究意
义,并对相关的国内外参考文献进行了综述。
接着分析了基金经理管理多只基金现象的原因。分为根本原因和直
接原因。根本原因是证券投资基金行业在我国的发展;而直接原因包括
三点,包括新基金的不断发行、基金经理跳槽引起的空缺以及老基金增
补基金经理。
然后分析了基金的资产组合的特征,包括基金的资产配置、行业分
布和重仓持股。结果表明,同一基金经理管理两只基金的样本的雷同程
度最高,同一公司旗下不同基金经理管理的两只基金的雷同程度次之,
不同公司旗下的两只基金的雷同程度最低。并且这些结果在统计上是显
著的。
与此同时,我们分析了基金的投资风格,包括跨报告期的投资风格
研究和报告期投资风格研究。结果表明同一基金经理管理两只基金的样
本的投资风格雷同程度最高。
在研究了投资行为之后,我们分析了基金的投资业绩。比较了以下
I
两种趋势孰占主导:第一,“基金经理管理多只基金”的现象可能会造
成业绩趋同;第二,样本组内的两只基金的类型相同也可能会造成业绩
趋同。结果是,在两个因素各自对于基金业绩指标具有显著影响作用的
情形下(除了选时能力之外),均有“基金管理方式”对于基金业绩指
标占据主导。
关键词基金经理,资产组合,投资风格,投资业绩
II
RESEARCH ON FUND MANAGERS MANAGING MULTIPLE
FUNDS IN CHINA
ABSTRACT
With the development of securities investment funds industry, there is a
new phenomenon that some fund managers manage multiple funds in China.
The phenomenon may bring the similarities of investment behavior and
performance. It wouldn’t benefit the dispersion of risk. The main contents of
the paper are as follows:
First of all, we introduced the research background and significance of
the phenomenon of fund managers managing multiple funds in China, and
made a brief summary of related domestic and foreign reference papers.
What’s followed is analysis of the reasons of the phenomenon of fund
managers managing multiple funds. The reasons were divided into
underlying reason and direct reasons. The underlying reason was the
development of securities investment funds industry. While the direct reasons
posed of three points, including continuous issues of new funds, the
vacancy brought by resign of fund managers and the fund managers’
supplement to existing funds.
Then we analyzed the features of fund portfolios, including funds’ asset
allocation, sectors allocation and heavily held stocks. The results revealed
that the samples of the same fund ma