基金经理行业配置能力与基金业绩评价研究  

Research onMutual Fund Performance Evaluation based on Fund Manager’s Sector Allocation Capabilities

作　　者：陈晓非 叶蜀君[1] 肖笛雨 CHEN Xiao-fei;YE Shu-jun;XIAO Di-yu(School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China)

机构地区：[1]北京交通大学经济管理学院,北京100044

出　　处：《经济问题》2021年第11期44-50,106,共8页On Economic Problems

基　　金：国家社会科学基金项目(19BGJ001)。

摘　　要：应用信息优势理论和委托代理理论,以行业集中度指标、行业调整活跃度指标和行业选择能力指标为基础,分别从静态特征、动态特征和行业选择能力衡量股票及偏股混合型主动管理基金经理的行业配置能力。构建面板固定效应模型实证分析行业配置能力对基金业绩的影响,认为行业集中度和行业选择能力对基金业绩有显著正向影响,基金经理积极的行业配置行为能够取得显著超额收益;行业调整活跃度对基金业绩的影响不显著,呈负相关关系,基金经理频繁调仓的交易成本、可能存在的代理问题和心理偏差会削弱基金业绩。进一步将基金经理行业配置能力指标引入基金业绩评价,运用主成分分析方法,构建基于基金经理行业配置能力的公募基金评价体系。This paper utilizes theories including information superiority and principal-agent,using indicators on sector concentration,sector adjustment activity,and sector rotation ability,to evaluate the overall sector allocation capabilities of active managed equity funds both statically and dynamically.Empirical analysis was carried out using fixed-effect panel model to analyze the impact of fund manager’s sector allocation abilities on fund performance.It is believed that sector concentration and sector rotation ability have significant positive impacts on fund performance;and sector adjustment activity has no significant impact on fund performance,which is also negatively correlated with fund returns.Fund manager’s frequent sector adjustments result in extra transaction costs,potential principal-agent effect,and psychological biases could lead to weaker fund performances.Furthermore,sector allocation capabilities were introduced into fund manager’s performance assessment process,principal component analysis were carried out to reduce the assessment complexity,and revised mutual fund rating system that taken into account fund manager’s active sector allocation skills is a major achievement of this paper.

关 键 词：基金业绩评价 行业配置 基金经理 信息优势 委托代理问题 

分 类 号：F830.91[经济管理—金融学]