基金业绩如何影响风格漂移和经理离职?——理论与经验分析

本文通过一个两期模型,刻画了基金业绩如何通过影响市场信念,进而影响基金风格漂移和基金公司的解雇行为。若上期基金业绩很好,基金经理就会在乐观的自我能力预期下,完全按照自己的判断选择基金投资风格;若上期业绩一般,基金经理会因为调整成本而不太愿意切换投资风格;而若上期业绩很差导致自我能力预期悲观,基金经理就宁愿模仿上期绩优基金的投资风格。综合起来,基金风格漂移将随上期基金业绩呈现出显著的U型关系。进一步,因为业绩很差的基金经理会采取模仿策略,因此在市场风格发生切换时更有可能发生基金经理解雇事件。此外,本文基于中国开放式基金的季度数据,检验了风格漂移与滞后一期基金业绩之间的关系,经验证据稳健地支持了理论分析的各种结论。     

基金业绩如何影响风格漂移和经理离职?——理论与经验分析

本文通过一个两期模型,刻画了基金业绩如何通过影响市场信念,进而影响基金风格漂移和基金公司的解雇行为。若上期基金业绩很好,基金经理就会在乐观的自我能力预期下,完全按照自己的判断选择基金投资风格;若上期业绩一般,基金经理会因为调整成本而不太愿意切换投资风格;而若上期业绩很差导致自我能力预期悲观,基金经理就宁愿模仿上期绩优基金的投资风格。综合起来,基金风格漂移将随上期基金业绩呈现出显著的U型关系。进一步,因为业绩很差的基金经理会采取模仿策略,因此在市场风格发生切换时更有可能发生基金经理解雇事件。此外,本文基于中国开放式基金的季度数据,检验了风格漂移与滞后一期基金业绩之间的关系,经验证据稳健地支持了理论分析的各种结论。     

Investment style positioning of UK unit trusts

We investigate the investment style positioning of UK equity unit trusts (mutual funds) over the 24-year period from 1987 to 2010 and assess if fund manager claims to follow a particular style strategy are evidenced in practice. Generally, UK unit trusts do not, in fact, consistently track declared styles but subject their funds to style switching or rotation. Nor do funds switch to become simple index trackers, as has widely been reported, but exhibit a mix of behaviour that we refer to as ‘market-momentum styling’. Our contribution is to offer a coherent, end-to-end picture of the evolution of investment styles over an economic cycle. In so doing we evidence that fund style positioning is subject to rotation and becomes subordinated to past portfolio performance or style momentum. Even this result is conditional as we go on to demonstrate that style investment is very likely to be driven by broader economic conditions, thereby creating market-momentum styling by default. This is arguably not a style at all and calls into question the intent behind fund ‘strategies’.     

Style chasing by hedge fund investors

This paper examines whether investors chase hedge fund investment styles. We find that better-performing and more popular styles are rewarded with higher inflows in subsequent periods. This indicates that investors compare hedge fund styles in terms of recent performance and popularity, and they subsequently reallocate funds from less successful to more successful styles. Furthermore, we find evidence of competition between individual hedge funds of the same style. Funds outperforming the other funds in their styles and funds whose inflows exceed the average flows in their styles experience higher inflows in subsequent periods. One of the reasons for competition among same-style funds is investors’ search for the best managers. The high minimum investment required to invest in a hedge fund limits investors’ diversification opportunities and makes this search particularly important. Finally, we show that hedge fund investors’ implementation of style chasing in combination with intra-style fund selection represents a smart strategy.     

Why Are Buyouts Levered? The Financial Structure of Private Equity Funds

Private equity funds are important to the economy, yet there is little analysis explaining their financial structure. In our model the financial structure minimizes agency conflicts between fund managers and investors. Relative to financing each deal separately, raising a fund where the manager receives a fraction of aggregate excess returns reduces incentives to make bad investments. Efficiency is further improved by requiring funds to also use deal-by-deal debt financing, which becomes unavailable in states where internal discipline fails. Private equity investment becomes highly sensitive to aggregate credit conditions and investments in bad states outperform investments in good states.     

THE COST OF MUTUAL FUND DISTRIBUTION FEES

Many individuals purchase shares in mutual funds as investments. With a lack of evidence supporting performance persistence in fund returns, investors should consider expenses as a fund-selection tool since fund expenses have a negative effect on fund returns. One of the largest expenses incurred by fund investors is distribution expenses, which include both load charges and annual fees. Close to two-thirds of all equity funds charge investors for fund distribution. The true cost of these distribution fees to investors is hard to measure because a myriad of distribution arrangements have evolved that vary both the timing and magnitude of distribution charges. We derive a simple methodology that expresses the present value of distribution costs as a percentage of the original investment in fund shares for any expected holding period. This methodology allows direct comparison of the effect on investors of distribution fees for mutual funds with different types of sales arrangements.     

Decomposing the persistence of international equity flows

The portfolio flows of institutional investors are widely known to be persistent. What is less well-known, however, is the source of this persistence. One possibility is the ‘informed trading hypothesis:’ that persistence arises from autocorrelated trades of individual investors who believe they have information about value and who face an imperfectly liquid market. Another possibility is that there are asynchroneities with respect to investment decisions across funds, across investments, or both. These asynchroneities could be due to wealth effects (across investments for a single fund), investor herding (across funds for a single investment), or generalized contagion (across funds and across investments). We use daily data on institutional flows into 21 developed countries by 471 funds to measure and decompose aggregate flow persistence. We find that the informed trading hypothesis explains about 75% of total persistence, and that the remaining amount is attributable entirely to cross-fund own-country persistence. While asynchroneities across funds investing in the same country are important, asynchroneities across countries, either within a given fund, or across funds, are not important. The cross-fund flow lags we identify might result from different fund investment processes, or from some funds mimicking others' decisions. We reject the hypothesis that wealth effects explain persistence.     

Venture-Capital Investment in Minority Business

This study analyzes the performance of mature investments made by venture-capital (VC) funds that specialize in financing minority business enterprises. We explore the hypothesis that VCs focusing on investing in minority businesses earn attractive returns because this market niche is underserved. Minority VC funds collectively earned yields on their realized investments that were estimated to be broadly equivalent to those of the mainstream VC industry. However, these yields vary greatly from fund to fund. VC fund traits that predict high yields on individual investments are identified by estimating multivariate regressions explaining net investment returns.     

Scale economies in pension fund investments: A dissection of investment costs across asset classes

Using a unique dataset of 225 Dutch occupational pension funds with a total of 928 billion euro of assets under management, we provide a comprehensive cross-sectional analysis of the relation between investment costs and pension fund size. Our dataset is free from self-reporting biases and decomposes investment costs for 6 asset classes in management costs and performance fees. We find that a pension fund that has 10 times more assets under management on average reports 7.67 basis points lower annual investment costs. Economies of scale differ per asset class. We find significant economies of scale in fixed income, equity and commodity portfolios, but not in real estate investments, private equity and hedge funds. We also find that large pension funds pay significantly higher performance fees for equity, private equity and hedge fund investments.     

Socially responsible investment funds: Investor reaction to current and past returns

This paper investigates and compares the determinants of fund flows for socially responsible investment (SRI) funds and conventional funds. We consider the impact of current and past measures of monthly and annual return on fund flow. The results suggest SRI fund flows are less sensitive to returns than conventional funds. Our model also shows that flow is persistent and SRI investors are more likely to invest in a fund they already own relative to conventional investors. These results reflect the difficulty SRI investors face in finding alternative investments that meet their non-financial goals.     

基金投资风格的极端性与业绩研究

本文首次从综合性视角考察基金投资风格的极端性与其业绩之间的关系。采用投资风格极端性指数和行业集中度作为投资风格的测度,研究发现投资风格的极端性与基金业绩成反比,即投资风格越极端,基金的收益越差。因此,我们建议基金经理在做出投资策略时,应当遵循稳健的投资风格与分散化投资,当发现自己的投资组合风险较大或有明显的行业偏重时,及时做出调整。对于风格极端的基金投资组合,应保持谨慎的态度。     

Trades of the living dead: Style differences, style persistence and performance of currency fund managers

We make use of a new database on daily currency fund manager returns over a three-year period, 2005–2008. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no evidence to support alpha persistence; a manager’s alpha in one year is not significantly related to his alpha in the prior year. On the other hand, there is substantial evidence for style persistence; funds that rely on carry, trend or value trading or with a long/short bias toward currency volatility are likely to maintain that style in the following year. In addition, we are able to examine the performance of managers that survive through the entire sample period, versus those that drop out. We find significant differences in both the investment styles of living versus deceased funds, as well as their realized alpha performance measures. We conjecture that both style differences and ineffective market timing, rather than market conditions, have impacted performance outcomes and induced some managers to close their funds.     

Performance persistence and style consistency of Indian fixed income mutual funds – A longitudinal study

In this study, we evaluate the performance of Indian fixed-income mutual funds using a comprehensive sample over a ten-year period from April 2010 to March 2020. We examine performance persistence of 190 fixed income funds across 16 fund categories and analyze investment style of the most persistent and top performing funds. We assess performance persistence using recursive portfolio formation test, and analyze investment style using Sharpe's (1992) asset class factor model supplemented with Lobosco and diBartolomeo (1997) approach for statistical robustness. We also study the correlation between performance persistence and style consistency and find persistent funds to be less consistent in style. Our findings indicate that a substantial proportion (73%) of the funds considered were under-performers. Our results pertaining to style analysis indicate substantial drift in investment style from regulator-mandated investment objectives. Further, the study nudges regulators to revisit the prevailing practice of fund classification based on Macaulay's duration. In light of the growing prominence of Indian fixed income securities, the findings of this study are all the more pertinent to investors, asset management companies and policy makers.     

基于规模与风格的证券投资基金最优组合构建研究

本文选择中国2004年10月1日前成立的8种投资风格共133只证券投资基金,根据其在2005年1月1日-2008年3月31日共161周的数据,依照非回置等权抽样方法构建基金组合。在研究了基金组合规模与组合风险和绩效关系的基础上,着重探讨了基金组合所含风格类型以及基金组合风格丰富化指标与组合风险和绩效的关系。在上述研究的基础上,论文提出了综合规模和风格双因素的基金最优组合构建原则,并得出了最适度风格类型模型和最适度风格丰富化指标模型。     

The shrouded business of style drift in active mutual funds

This study investigates the motivation and performance consequence of intentional style drift in an exclusively in-house fund management industry in China. With style drift, fund investors are exposed to investment portfolio outside their risk-return preference but are generally unaware that their risk and return expectations are disrupted, and the functioning of the fund market undermined. Our study provides evidence for the first time about the incentive that motivates style drift behavior. We find that style drift increases a fund's subsequent net inflows, thus affirming the maximization of AUM-linked compensation as the motivation for fund manager's style drift behavior. We also find that larger funds have greater incentive to drift. We demonstrate that style drift behavior interferes with the picking of quality stocks to deliver fund performance for fund investors. Style drift as an unobserved risk behavior harms fund investor interest and undermines market integrity.     

International Equity Asset Classes in the Turkish Fund Industry

We examine Turkish fund portfolios and identify the role of international investments in their formation. We find that (1) Turkish funds hold a very small fraction of international assets during 1987-2008, (2) the weight of international equity in the funds with an international mandate is smaller than the total weight of domestic asset classes as of 2009, and (3) international stock holdings of Turkish portfolio managers show significant similarity, which can be explained by the fact that the managers tend to hold stocks with which they are familiar. We compare the performance of funds that have the international investment objective with benchmark portfolios and provide suggestions for more diverse funds in the Turkish fund industry.     

Is it the Law or the Lawyers? Investment Covenants around the World*

This paper introduces a new dataset from 50 private investment funds from 17 countries around the world. We analyse the frequency of use of investment covenants imposed by institutional investors governing the activities of private investment fund managers in areas pertaining to investment decisions, investment powers, types of investments, fund operations and limitations on liability. While the data indicate a role for country legality in affecting the frequency of use of fund covenants, the data further indicate that the presence of legally trained managers has a more pronounced role in affecting the use of covenants. As private equity and venture capital investment increases across Europe and elsewhere, our results indicate that legal practice factors will matter more than the legal setting for the establishment of covenants governing new funds.     

基金投资风格的持续性研究:原因与结果

本文以2006至2010年期间所有开放式股票型非指数型基金为样本,实证研究基金投资风格的持续性以及基金转变投资风格的原因和结果。研究发现:(1)基金的大盘/小盘风格具有一定的持续性,但是价值/成长风格不具有持续性;(2)基金总体上并没有表现出明显的风格择时能力,而过去的业绩是影响基金投资风格发现转变的一个重要原因;(3)适当地改变大盘/小盘风格、适当地保持价值/成长风格有利于提高未来的业绩。     

中国公募基金挖掘了股票市场异象吗？

公募基金是我国重要的机构投资者之一,分析其投资逻辑对理解机构投资者行为和公募基金的选择至关重要。基于2005年至2019年主动管理偏股型开放式基金数据,本文检验了公募基金对A股市场87个异象因子的挖掘。为解决因子维度过大问题,本文采用非参方法从87个异象因子中提取有效信息的综合指标A-Score,并根据基金持仓构建基金的异象投资指标AIM(Anomalies Investing Measure)。结果显示:(1)中国公募基金挖掘了市场异象;(2)利用AIM可以选择表现更好的基金,并能获得0.45%的月度多空组合收益;(3)基金经理的选股能力、风格选择能力和风控能力是其挖掘异象收益的主要来源;(4)异象挖掘可以为基金带来长期资金流,同时也缓和了市场的错误定价。     

Fund closings as a signal to investors: Investment performance of open-end mutual funds that close to new shareholders

This article examines the growing phenomenon of mutual fund closings by analyzing the investment performance of open-end funds that close to new investors. We find that: (1) the average excess return (estimated by Jensen's alpha) was positive in the 24 months prior to closing, (2) the average excess return was not significantly different from zero in the 24 months after closing, and (3) the funds in the sample on average exhibited a significant decline in investment performance after closing. These findings suggest that the fund managers' strategic decision to close the fund in order to slow down the growth in net assets does not prevent investment performance from declining. For the individual investor, an impending fund closing is a signal not to invest in the fund. It is also a signal that current shareholders consider alternative investments.