投资交易型指数基金的会计核算

交易型指数基金(Exchange Traded Fund，以下简称ETF)是指经依法募集的，投资于特定证券指数所对应组合证券，其基金份额用组合证券进行申购、赎回，并在证券交易所上市交易的特殊开放式基金。在经济日益金融化的今天，交易型指数基金以及今后我国的指数期货、指数期权等衍生金融工具会带来一系列现实而复杂的财务会计问题。本文拟就上证50ETF为例，结合ETF的特点，对投资ETF的会计核算作一些介绍。     

基金持股偏好、市场环境与投资绩效

文章以2011—2019年公募基金数据样本为研究对象,考察了基金机构持股的成长性、行业及长短线偏好在不同市场环境下对投资绩效的影响。研究发现:在牛市环境下,公募基金投资组合中持有小盘股、轻资产企业以及成长性高的科技股会带来更高的投资绩效;而在熊市环境下公募基金的投资组合中更偏向于持有大盘股、重资产企业以及消费行业的股票从而带来更高的投资绩效。进一步研究发现,公募基金机构的异质性也同样作用于其投资绩效。本研究有助于理解基金机构对于稳定股市的作用以及规范交易型公募基金投资机构投资行为的重要性。     

关联交易与基金管理公司内部治理机制—对我国开放式基金的实证分析

本文实证研究了处于双重代理下的基金管理公司内部治理机制对关联交易的抑制作用,结果发现,提高独立董事在董事会中占比将能有效抑制基金关联交易的发生,而具有证券或基金从业经历的专业人士更有能力担当独立董事这一重任;董事会的冗余将不利于对基金关联交易的监管;券商"一股独大"将会促进基金关联佣金分仓的发生;盲目地发行新基金将会加重同一基金管理公司旗下基金共同重仓持股,增加基金管理公司的整体风险,最终伤害基金持有人的利益。     

基金业绩与基金经理风险调整行为——来自银行系基金的证据

基金公司通过相对业绩排名考核基金经理，基金经理会根据前期业绩排名调整投资组合的风险水平。我国商业银行及其控股的基金管理公司在金融市场占据举足轻重的地位，基于股东影响基金经理投资行为的角度，文章对比了银行系与非银行系基金经理风险调整行为的差异。以2005—2020年中国开放式股票型和偏股混合型基金为样本，考察了业绩排名对基金经理风险调整行为的影响。研究发现，银行系基金经理更在意业绩排名。当前期业绩较差时，银行系基金更有动力进行风险调整。另外，银行系基金风险调整对未来业绩产生更显著的正向影响，且具有更强的业绩持续性。通过比较发现，银行系基金的离职率更低且团队更稳定，可以更加主动地进行策略选择和投资组合调整。该发现扩展了基金风险调整行为的研究，也对基金投资具有一定的参考意义。     

浅析深证1OOETFs的运行情况

从全球证券市场看,运用主动投资策略使资产组合的收益率高于市场指数收益率并不容易。因此近几年来指数化投资方式获得了巨大发展。而一种新型的指数投资工具——交易所交易基金（Exchange--TradedFund,简称ETFs）更是在十几年来迅速兴起。这是由ETFs其自身的特点决定的。ETFs往往采取被动的管理方式,以追踪某一指数并拟合这一指数的收益为目标。ETFs既可以像封闭式基金那样在交易所买卖,又可以像开放式基金那样进行申购和赎回,从而克服了封闭式基金折价幅度较大和开放式基金流动性相对不足的缺点。由国外ETFs的运作实践可知,ETFs比较好的拟合了所追踪的指数收益。     

公募基金内部羊群行为研究

以往对公募基金羊群行为的研究聚焦于宏观层面不同基金公司所持股票组合的相似性,而该研究则从微观视角研究了羊群行为:(1)单个公募基金公司所管理的多个基金相互模仿投资策略所呈现的羊群行为;(2)基金经理的交易行为所呈现的羊群行为。使用LSV模型测量2010—2019年多个公募基金公司内部的羊群行为,发现同个公募基金公司所管理的多个不同基金存在相互模仿投资策略的羊群行为,程度高于宏观层面不同公募基金之间相互模仿的羊群行为。此外,还发现基金经理的买入卖出交易行为存在羊群效应。研究从新的视角检验了微观层面的羊群行为,为基金公司加强内部管理、避免基金经理跟风投资造成风险聚集提供参考。     

分析基金年报 挖掘投资价值

投资者在日常交易中，须通过基金公司公布的基金净值（开放式基金）和定期披露的基金资产组合情况，掌握一定的投资信息。基金投资的整体情况和全面经营业绩是按年度计算反映的，相对于日常的基金信息披露等，基金年报揭示的信息更加全面、综合，因此，如何分析基金公司的年报，挖掘潜在投资价值，成为投资者尤为关注的问题。     

ETF

ETF（Exchange Traded Fund）又称交易所交易基金,是一种在交易所上市交易的开放式证券投资基金,其交易手续与股票完全相同。投资者可以通过两种方式购买ETF：在证券市场收盘后,按当天的基金净值向基金管理者购买;     

基金投资风格与投资管理

介绍了按照基金投资组合的不同种类利润目标和不同规模的投资风格分类 ;阐述了基金投资风格对投资者投资效果的影响。基金投资风格的转变对投资者投资效果产生的影响不同 ,因此 ,投资者应该密切关注基金的操作风格。     

我国基金家族风险调整行为的实证研究

本文选取我国2008年12月31日之前成立的偏股型基金,研究了2006年1月1日至2009年12月31日期间,基金家族内部基金经理根据每年前期家族内部业绩排名而对后期风险进行调整的行为,发现在基金家族内部前7个月排名靠后的基金,后期会显著增大投资组合风险,说明我国基金家族内部存在基金竞赛,即前期排名靠后的基金经理后期倾向于选择高风险高收益的投资组合。进一步研究发现,这种风险选择行为与基金家族的大小呈正相关关系,即大家族内部基金竞赛行为更显著。     

Impact of investor sentiment on mutual fund risk taking and performance: evidence from China

ABSTRACT

This study provides empirical rationale and guidance for incorporating investor sentiment into mutual fund enterprise information systems. It investigates the effect of fund-specific investor sentiment on fund risk taking and performance. Working on a sample of equity funds in China, our panel regressions reveal that fund risk-taking is negatively related to lagged fund-specific investor sentiment. Investor sentiment is negatively linked to subsequent fund performance, which conforms with the dumb money effect. Encouragingly, there is evidence that mutual fund managers in China possess investing expertise. Fund-specific investor sentiment shows asymmetric impacts. The dumb money effect is primarily driven by positive sentiment.     

On the robustness of persistence in mutual fund performance

This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds. In the first stage we apply contingency tables and transition matrices in accordance with previous literature. Results show how these methodologies are biased towards finding evidence of persistence too easily. In the second stage, we take a recursive portfolio approach, which assesses the performance of investing by following recommendations based on past performance. Results show the importance of both estimating persistence by distinguishing among fund style groups, and considering the cross-sectional significance of recursive portfolios. In general, our results support evidence of persistence in mutual fund performance, especially for the case of the best mutual funds. However, this evidence does not hold for the most recent subperiod, 2008–2015. Empirical evidence of persistence is conditioned by the sample period, a result that could explain the inconclusive results found in the literature.     

Threshold effect of scale and skill in active mutual fund management

In this paper, we apply threshold estimation techniques to study the size-performance relationship in the US mutual fund industry. Existing studies have found diseconomies of scale, and we add our contribution to this by considering possible non-linear decreasing returns to scale caused by fund age and manager tenure. We find significant threshold effects of both fund age and manager tenure at approximately three to four years in the size-performance relationship. Compared with younger funds, older funds have more severe decreasing returns to scale as the industry size increases.     

Examining the behavior of renewable‐energy fund investors

Mutual fund investors could contribute to sustainable development by encouraging fund managers to channel their savings into the funding of sustainable energy projects adopted by firms. This study examines whether renewable‐energy investors take into account financial and/or nonfinancial factors when making the decision to invest in a specific fund, comparing their investment behavior with that of black‐energy and conventional investors. To this end, we have gathered information about 4,368 mutual funds (76 renewable‐energy funds, 109 black‐energy funds, and 4,183 conventional mutual funds) from January 2007 to December 2017. For this sample, we adopt a panel‐data approach with Petersen's standard errors clustered by fund and year. Our results indicate that renewable‐energy fund investors are less sensitive to past financial performance than are black‐energy and conventional fund investors, indicating that the former derive their utility from nonfinancial attributes whereas black‐energy investors derive their utility from a conditional multiattribute and conventional fund investors derive their utility from financial attributes.     

Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis

We propose a method for mutual fund performance measurement and best-practice benchmarking, which endogenously identifies a dominating benchmark portfolio for each evaluated mutual fund. Dominating benchmarks provide information about efficiency improvement potential as well as portfolio strategies for achieving them. Portfolio diversification possibilities are accounts for by using Data Envelopment Analysis (DEA). Portfolio risk is accounted for in terms of the full return distribution by utilizing Stochastic Dominance (SD) criteria. The approach is illustrated by an application to US based environmentally responsible mutual funds.     

New insights into mutual fund brokerage commissions

Using data collected from equity mutual fund reports filed by single-fund registrants to the Securities and Exchange Commission, I study the determinants of brokerage commissions paid by fund managers when they buy or sell securities and investigate the role these commissions play in fund performance. Consistent with related studies, my results from cross-sectional analyses reveal that higher portfolio turnover funds are associated with higher commissions and larger funds incur lower commissions, as well as the positive relation between expense ratios and commissions. This positive relation is puzzling as most commissions include “soft dollars” for payments of products and services that should be already covered by the costs reported under expense ratios. However, once I take into account unobservable fund heterogeneity, I find that higher expense ratio funds do not necessarily pay higher commissions. Further, controlling for whether a fund increased commission payments as the result of flow-induced trading, I show that the underperformance related to brokerage commissions documented in the literature is attributable (at least partly) to higher level of fund flows.     

Smart money or dumb money? A study on the selection ability of mutual fund investors in China

We examine investors’ mutual fund selection ability in China. Using actively managed equity mutual funds between 2005 and 2011, we find that Chinese investors generally have no mutual fund selection ability, a result contrary to the smart money effect in the United States. We show that mutual funds that receive more new money subsequently underperform significantly. The findings are robust to several risk-adjusted performance measures. The unique data of China provide separate accounts of institutional and individual investors’ new money flowing into and out of mutual funds, allowing us to examine the mutual fund selection ability of institutional and individual investors. We document that institutional investors exhibit a smart money effect, that is, they are able to move new money into (out of) future good (poor) performers. In contrast, individual investors exhibit a dumb money effect. Our results provide useful information for regulators to review their rules, especially for the protection of individual investors regarding mutual fund investing in China. In addition, we show that it is useful to distinguish institutional and individual investors in mutual fund research.     

股票基金红利再投资比例的实证研究

开放式基金"红利再投资比例"指的是基金分红时,投资者以红利再投资方式进行的收益分配占总收益分配的比例。红利再投资比例的研究可以为基金制定正确的分红策略提供依据。文章通过对股票型开放式基金红利再投资比例的研究,发现基金份额、基金存续时间与基金红利再投资比例正相关。这说明基金持有人对基金管理人越有信心,基金持有人投资基金的时间越长,则选择红利再投资的可能性就越大。     

大数据背景下基金交易风险分析及其投资价值分析

当前属于信息化时代,大数据技术应运而生,在新的时代背景下,基金交易的价值与投资风险也随之而改变。随着人民的生活水平日益上升,国民财富总值不断攀高,有了更多资金流入资本市场。其中基金市场凭借其稳定收益与较低风险成为资金流入的首要目标。但是基金投资中备受关注的风险——信息缺陷风险,使得众多投资者饱受亏损。论文通过大数据技术分析基金投资中的交易风险和投资价值,为基金投资决策提供建议。     

On understanding mutual fund terminations

We examine the determinants of US mutual fund terminations and provide estimates of mutual fund hazard functions. We find that mutual fund termination correlates with a variety of fund specific variables as well as with market variables such as the S&P 500 index and the short-term interest rate. We also test the underlying assumptions of the semi-parametric Cox model and reject proportionality, thus calling to question the use of this model in forming estimates of mutual fund hazard functions. We find that different fund categories exhibit distinct hazard functions depending on the fund’s investment objectives.