单独与团队管理基金的投资策略差异研究-管理学、技术经济及管理专业论文.docx

万方数据 万方数据 摘要 近年来，随着资本市场的不断发展，开放式基金已在我国基金市场上占据主导地位。 与 西方 国家 相比 ， 国 内 对 基金管理结构 和 投资策略的研究 还 比较匮乏。本文 采用 2005~2012 年 2008 个年度基金样本对单独与团队管理基金在投资策略上的差异进行研究， 并检验其经济后果与投资者反应。此外，还进一步研究了我国基金市场的特殊现象“一拖 多”对不同管理结构基金投资策略选择的影响。 结果发现，单独管理基金更倾向于采用择时策略，且择时业绩更好；而团队管理基 金更倾向于采用选股策略，且选股业绩更好。然而，团队管理基金的择时业绩差，并非是 基金经理缺少择时能力，而是团队内部存在着协调成本，协调成本侵蚀了择时业绩。团队 管理基金的专业化收益不能完全弥补其协调成本，而单独管理基金的择时收益则能够弥 补其专业化不足。研究还表明投资者看重单独管理基金经理的选股择时能力，择时能力或 选股能力越强越能吸引资金流入，但是对团队管理基金则无明显的偏好或厌恶。此外，单 独管理的“一拖多”基金择时能力更强，尤其是“偏股型一拖多”基金。“一拖多”有损 基金业绩，尤其是团队管理基金；但是，投资者并没有充分认识到这一损害，这表明我国 的基金投资者还是趋于非理性的。 关键词：开放式基金; 单独管理; 团队管理; 择时策略; 选股策略 I Abstract During recent years, with the rapid development of China’s capital market, open-ended funds have been at a dominant position in securities investment funds industry. When compared with researches in Western countries, our studies on fund management structure and investment strategies are still at a deficient stage. So we study the differences between sole- and team- managed funds’ investment strategies based on a sample of 2008 open-ended funds during 2005~2012, then we examine the economic results and investors’ reactions. We further study the impact of Yi-Tuo-Duo - a particular phenomenon in our fund industry - on the investment strategies of sole- and team-managed funds. We firstly find that sole-managed funds are prone to take market-timing strategy and have better market-timing performance, but team-managed funds are prone to take stock-selection strategy and have better stock-selection performance. Then we find the poor market-timing performance of team-managed funds is not the result of lacking in market-timing ability but coordination cost which corrupts the market-timing performance. For team-managed funds, the profit from specification can’t make up the corruption. But the market-timing profit for sole- managed funds can offset the loss of specification deficiency. Furthermore, investors would reward sole-managed funds’ market-timing ability and stock-selection ability, rather