基金家族产品同质化与基金业绩  

Homogenization of Fund Family Products and Fund Performance

作　　者：贺旭 苏治[2] 张永冀[3] HE Xu;SU Zhi;ZHANG Yongji(School of Economics and Management,Ningxia University,Yinchuan 750021,China;School of Statistics and Mathematics,Central University of Finance and Economics,Beijing 102206,China;School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China)

机构地区：[1]宁夏大学经济管理学院,银川750021 [2]中央财经大学统计与数学学院,北京102206 [3]北京理工大学管理学院,北京100081

出　　处：《管理科学》2024年第5期146-158,共13页Journal of Management Science

基　　金：国家自然科学基金(72173145)

摘　　要：基金家族共享各种内部资源,如团队研究成果和数据算法平台等,基金如果使用了这些内部资源,就会配置相同的资产,导致基金家族产品同质化。已有关于基金家族的研究,重点关注交叉补贴和抬轿等反映基金家族侵害基金业绩的行为,对基金家族产品同质化现象及其影响尚未充分讨论。以中国公募基金为样本,采用基金持仓数据构建了投资组合重合度指标测量同质化程度,对同质化与基金业绩之间的关系进行了分析和检验。从私有信息、投资心理和业绩操纵等角度分析同质化与基金业绩之间关系的成因。分析了基金持股集中度、基金规模和基金家族业绩对同质化与基金业绩之间关系的调节作用。进一步从激励和限制两个角度研究了基金之间存在同质化程度差异的原因。研究结果表明,同质化有助于基金获得更高收益且不会承担更多风险,作用机理包括基金个体能够对基金家族内部私有信息进行挖掘利用,基金家族可以通过同质化联合多只基金进行业绩操纵,同质化能够有效抑制基金个体的非理性行为和自利性行为。基金家族业绩和基金持股集中度对同质化程度与基金收益之间的关系起到正向调节作用,而基金规模相反。进一步研究显示,虽然同质化有助于基金获得更好的业绩表现,但声誉激励和资金流量激励可能促使基金主动降低同质化程度,基金经理较浅的资历和基金家族较低的信息传递效率会阻碍同质化。研究结果有助于理解基金与家族之间的关系,丰富了基金业绩影响因素及基金投资行为的研究。在实践上,对基金经理如何利用家族资源提升业绩以及投资者如何从基金家族的角度筛选基金具有一定的启示意义。Mutual fund families share various internal resources,such as team research outputs and data algorithm platforms.When funds utilize these internal resources,they tend to allocate similar assets,leading to product homogenization within fund families.Previous research on fund families has primarily focused on practices like cross-subsidization and“carrying a sedan”that reflect detrimental behaviors undermining individual fund performance.However,the phenomenon of product homogenization within fund families and its implications remain underexplored.Using data from China′s public mutual funds,this study constructs a portfolio overlap index based on fund holdings data,to measure the degree of homogenization and examine the relationship between homogenization and fund performance.The study explores the underlying mechanisms driving this relationship from the perspectives of private information,investment psychology,and performance manipulation.It also investigates the moderating roles of fund ownership concentration,fund size,and fund family performance in this relationship.Furthermore,the study examines the reasons for variations in homogenization across funds from the dual perspectives of incentives and constraints.The findings reveal that homogenization contributes to higher fund returns without increasing risk.And mechanisms include the effective utilization of private information within the fund family by individual funds,the coordination of multiple funds within fund family to manipulate performance,and the suppression of irrational and self-serving behaviors among individual funds.Fund family performance and fund ownership concentration positively moderate the relationship between homogenization and fund returns,whereas fund size exhibits a negative moderating effect.Additional analyses suggest that while homogenization enhances fund performance,reputation and flow incentives may drive funds to actively reduce the degree of homogenization.Moreover,the shorter manager tenure and lower information transmissi

关 键 词：基金家族 产品同质化 基金业绩 内部资源 基金投资行为 

分 类 号：F830[经济管理—金融学]