多重基金网络、信息发掘与基金中基金(FOF)绩效——基于2018—2021年FOF面板数据的实证研究  

Multi-Fund Network Combined Operation, Information Mining and Fund of Funds Performance:An Empirical Analysis of 2018-2021 Panel Data of FOF

作　　者：曾庆松 冯科[1] ZENG Qing-song;FENG Ke(School of Economics,Peking University,Beijing 100080,China)

机构地区：[1]北京大学经济学院,北京100080

出　　处：《哈尔滨工业大学学报（社会科学版）》2023年第1期153-160,共8页Journal of Harbin Institute of Technology(Social Sciences Edition)

基　　金：北京市社会科学基金重点项目“京津冀协同发展中的区块链与供应链金融应用研究”(19JDYJA008)。

摘　　要：FOF是一种具有多重管理结构且高度依赖信息的金融工具。通过将“基金—股票”结构的基金网络研究方法改进用于“FOF—子基金—股票”基金网络研究,检验了FOF如何利用多重基金网络的信息服务业绩提升。研究发现,业绩较好的FOF和直接基金不会盲目地跟风使用从关系网络中得到的信息,而是会基于自身投研能力,从鱼龙混杂的信息中提取真正有助于提升绩效的私有信息,形成具有独到见解的投资决策;那些在投资行为上与其他管理者普遍投资行为偏离较大、对子基金经理盈利节奏把握较好的FOF管理者,更可能具备较高的投研能力,更有机会取得好业绩。As a kind of financial instrument, FOF has multiple management structures and highly depends on information. The Fund Network research method of the “fund-equity” structure is improved and used for the “FOF-sub-fund-equity” fund network research. Based on this, how FOF enhances the performance by using the information of Multi-Fund Network is tested. According to the research, it is found that FOF and direct funds with better performance will not blindly use information obtained from relationship networks. Instead, it will extract private information that can really facilitate the improvement of performance from the mixed information based on its own investment and research capabilities, so as to form investment decisions with unique insights. In terms of the FOF managers having greater deviation from the general investment behavior of other managers in investment behavior and having a better grasp of the profit rhythm of sub-fund managers, the higher investment research capabilities and the better chance of achieving good results can be embodied by them.

关 键 词：基金中基金(FOF) 多重基金网络 信息发掘 基金绩效 

分 类 号：F832.51[经济管理—金融学] F832.48F830.91