基金管理模式、投资风格与经营绩效:来自中国公募基金探索性研究被引量：5

Management Mode,Investment Style and Fund Performance:An Evidence from Chinese Mutual Funds

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摘要随着基金规模的扩大和需求的多元化,越来越多的基金采用两人或以上的团队管理模式,使团队相较个人管理的优劣对比成为有意义的研究课题。本文以2003—2012年我国全部开放式基金为样本,系统全面地探讨个人和团队两种基金管理模式在投资风格与基金业绩上的差异,以及团队内部结构对团队管理基金的投资风格和业绩的影响。通过以月度收益标准差、前十大证券集中度衡量基金投资风格,及以夏普比率、择时能力、选股能力衡量基金业绩,发现在股票型基金和混合型基金中团队管理比个人管理的基金整体风险低,而团队和个人管理的基金整体业绩上不存在显著差异。针对团队内部结构的分析发现,团队合作年限与股票型基金业绩成正比,但团队合作年限会加重群体极化,使股票型基金风险趋大,但债券型基金风险趋小,同时团队规模和团队合作年限与混合型基金的择时能力呈负相关。 This study examines the difference in investment style and performance between indi- vidual and team-managed mutual funds and the impact of internal mode of the team on investment style and performance using the data of 1030 Chinese mutual funds with a ten-year span from 2003 to 2012. The results suggest no significant difference between individual and team-managed funds in terms of Sharpe ratio, timing and selectivity skill, which is consistent with classical decision-making theory. Strong evidence shows that team-managed stock and hybrid funds have lower risk than indi- vidual-managed funds, which is consistent with diversification theory. Team size and team tenure reduce timing skill of hybrid funds. Team tenure brings higher Sharpe ratio to stock funds with higher risk, but lower risk to bond funds, implying accentuation of group tendency.

作者骆盈盈任颋

机构地区交通银行总行北京大学汇丰商学院

出处《现代财经（天津财经大学学报）》 CSSCI 北大核心 2015年第4期22-33,共12页 Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基金北京大学汇丰金融研究院项目"中国共同基金的可持续发展研究"

关键词公募基金管理模式投资风格基金业绩 Mutual Funds, Management Mode, Investment Style, Fund Performance

分类号 F832.48 [经济管理—金融学]

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