基于网络调整的多重假设检验方法及其在共同基金选择中的应用  

A Network-Adjusted Multiple Testing Procedure with Application to Mutual Fund Selection

作　　者：张军 兰伟[1] 方能胜[2] Jun Zhang;Wei Lan;Nengsheng Fang(School of Statistics,Southwestern University of Finance and Economics;School of Finance,Southwestern University of Finance and Economics)

机构地区：[1]西南财经大学统计学院 [2]西南财经大学金融学院

出　　处：《经济管理学刊》2023年第4期119-142,共24页Quarterly Journal of Economics and Management

基　　金：国家自然科学基金项目(12171395、11931014、71991472、72333001);国家重点研发计划(2022Y FA1003702);西南财经大学数据科学与商业智能联合实验室、中央高校基本科研业务费专项资金(JBK2307105、JBK1806002)。

摘　　要：共同基金选择是资产配置关注的重要问题之一。本文提出了基金网络下的共同基金选择模型,该模型将基金重仓持股的网络权重矩阵作为惩罚项引入参数估计中,能够限定彼此相连基金的业绩alpha(α)的差异。在此基础上,本文评估了基金网络对基金业绩的影响,并结合错误发现率(FDR)方法提出了基于网络调整的共同基金选择策略。实证采用中国2016年1月至2020年12月的596只共同基金数据样本进行分析,研究发现:①近5年中国基金的持股具有高度重合度,使得基金业绩之间存在较高的关联性;②基金网络与基金业绩之间存在“马太效应”,即基金网络对正α基金存在正向作用,而对负α基金存在负向作用;③通过与其他基金选择方法做对比,本文提出的基于网络调整的共同基金选择模型能够有效地剔除基金网络对基金业绩的影响,选出真正具有选股能力的基金。本文结果不仅可为基金间的共同持股行为提供新的解释,还可为投资者或Fund of Funds(FOF)基金经理的投资决策提供新的视角。With the booming development of China's mutual fund market,mutual funds have been sought after by a large number of investors.At the same time,Fund of Funds(FOF)has also experienced explosive growth.How to select funds that can consistently beat the market from among the many funds has attracted widespread attention from academia to practitioners.On the one hand,facing with many fund options,individual investors hope to choose funds with good performance to achieve higher investment returns in the future;On the other hand,FOF managers are also eager to select excellent funds to improve their performance to attract new capital inflows,expand the management scale of FOF and achieve higher returns.However,many studies have shown that there is a clear phenomenon of common stockholding among China's mutual funds.Different funds form a complex relationship network through common stockholding,called a“fund network”.Since the stockholding characteristics between connected funds are relatively similar,their returns tend to be more similar,which increases the difficulty of mutual fund selections.Based on this,this paper focuses on how the fund network affects fund performance and explores how to select funds with real stock-picking ability.There are two main issues with existing literature on the performance of funds.Firstly,when studying the impact of fund networks on fund performance,most papers only use the topology of the fund network as an explanatory variable,with fund performance being the explained variable.Few papers directly incorporate the fund network matrix into model estimation,which results in a loss of connection information between funds.Secondly,the current research on choosing funds only takes into account the“luck”,and does not consider the network connections between funds.However,a large amount of existing research shows that fund networks do affect fund performance.Therefore,the current fund selection method is not conducive to investors or FOF managers in selecting funds.This paper proposes

关 键 词：基金网络 网络调整矩阵 错误发现率 共同基金选择 

分 类 号：O212[理学—概率论与数理统计]