基于相关性调整的公募基金管理能力度量  

A correlation-adjusted measure for the management ability of mutual funds

作　　者：林兟 何为 余剑峰 LIN Shen;HE Wei;YU Jian-feng(College of Management and Economics,Tianjin University,Tianjin 300072,China;Institute of Chinese Finance Studies,Southwestern University of Finance and Economics,Chengdu 611130,China;PBC School of Finance,Tsinghua University,Beijing 100084,China)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]西南财经大学中国金融研究中心,成都611130 [3]清华大学五道口金融学院,北京100084

出　　处：《管理科学学报》2022年第11期109-126,共18页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71903107,72141304,72001033,71790591)。

摘　　要：由于投资者使用基金的收益排名评价管理能力,致使基金资金流具有历史表现追逐的特征.而基金短期表现具有较大的随机性,因此易造成无效资金流动进而降低基金行业资源配置效率.本文提出使用日收益率的相关性以及基金同僚的表现来调整基金管理能力的度量,并检验调整后指标的预测能力.实证结果表明,对6个不同的历史收益指标进行调整,调整后指标均可显著预测基金的未来收益;其套利组合平均收益率在控制中国三个定价因子后达到每年14.46%,显著高于指标调整前的表现;调整后指标与原指标相关性仅38%左右,并被证实在控制了原指标的基础上依然可以提升对基金未来收益的预测精度.该方法贡献于提高公募基金市场资金流配置有效性,进而避免基金表现评价中由于信息技术造成的对历史表现过度依赖.Because of the chasing of mutual funds after the historical performance and the randomness in the short-term performance of funds,capital can easily flow into funds that are not equipped with effective management ability.This paper proposes a fund performance measure,adjusted by the correlation of daily excess returns and performances of all other funds,and investigates its predictive ability of funds’return.With six different performance measures,the evidences show that the correlation-adjusted measures can significantly predict funds’future return in cross-sections.The annual return spread of portfolios based on correlation-adjusted measures is 14.46%on average after controlling for China’s three-factor model,which is significantly higher than original measures.The correlation between original and correlation-adjusted measures is only about 38%and the predicting ability of correlation-adjusted measures cannot be eliminated by controlling original ones.The implication of our findings is the correlation-adjustment approach erases the noises in the funds’return and refines the common management ability from original measures.This approach contributes to the improvement of allocation efficiency of fund flows,and to alleviating the problem that performance chasing is seriously impacted by the advance of online information technology.

关 键 词：相关性调整 能力度量 历史表现追逐 中国公募基金 

分 类 号：F830.91[经济管理—金融学]