固定费用结构下基金经理管理费激励研究

基于经理的努力水平和风险规避程度是基金经理费设计的关键因素,构建固定费率结构下基金经理努力及风险选择的模型,结合我国基金样本数据进行了实证研究结果表明:管理费与基金业绩无显著正相关性,且低业绩的基金体现出较高的管理费率;管理费与基金风险具有显著的正相关关系。     

Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds

This paper uses stochastic dominance techniques to examine whether managerial skills vary across fund managers in European equity funds. The use of these techniques allows us to compare different investment alternatives in an uncertain setting under very simple assumptions regarding investor behaviour. The results for style-adjusted returns are consistent with varying degrees of managerial skill and cannot be explained by the impact of the choice of style-adjustment procedure, country, fee policy, and fund age, fund size or survivorship bias. This result allows us to conclude that style-adjusted returns may provide a reliable guide for selecting European investment funds.     

投资者教育发挥作用了吗?——来自公募基金个人投资者调查数据的证据

投资者教育是保障资本市场平稳运行、良性发展的重要举措,也是我国资本市场重要的基础性制度建设。本文利用20000多份全国公募基金个人投资者调查数据,分析了投资者教育对基金投资收益的影响,并基于行为金融学框架探究了其背后的作用机制。以往文献研究表明,金融知识水平对投资收益会产生显著影响,本文研究发现,获取金融知识的渠道也会影响投资收益。相对于自己学习金融知识、相关工作经验累积金融知识、向亲戚朋友学习金融知识,投资者教育(如参加金融机构的投资教育活动、接受金融经济类课程或培训)更有助于投资者缓解趋势追逐、频繁交易、处置效应等交易行为偏差,从而获得更高的投资收益。进一步分析表明,投资者教育通过提高“理性程度”来提升基金投资盈利概率、投资总收益率和年均收益率的中介效应分别为19.41%、17.09%和12.75%。此外,不同群体参与投资者教育的积极性和受教育效果存在显著差异,投资者教育要更多采取“分类教育”的形式。本文研究对进一步加强投资者教育、更好地推动资本市场发展具有一定的参考意义。     

HEDGE FUNDS: WHAT DO WE KNOW?

Hedge funds are attracting increased attention because of their reputation for earning superior (risk-adjusted) returns. Hedge Fund Research Inc. estimates that in 2001 there were about 7,000 hedge funds with investor capital of about $600 billion. And yet the diversity of hedge funds, combined with a general lack of transparency, makes the hedge fund industry something of a "black box."
This article provides an overview of the legal structure of hedge funds, the various fund investment strategies, and the existing research on overall hedge fund performance. Without uniform and comprehensive reporting requirements, it is difficult to ascertain the size and scope of hedge fund investments. Nonetheless, current research provides persuasive evidence that hedge funds earn positive risk-adjusted returns, on average, in contrast to their counterparts in the mutual fund industry. In an attempt to explain these higher returns, the authors begin by noting that hedge funds are subject to considerably less regulation than other investment institutions because their client base is limited to wealthy individuals and institutions. Hedge funds can thus employ investment strategies that mutual funds and pension funds are prohibited from pursuing, such as short selling, high leverage, derivatives, concentrated holdings, and limited redemptions. As a result, the funds may be able to earn excess returns by operating in illiquid and specialized markets where there is a shortage of arbitrage capital. At the same time, and perhaps even more important, hedge funds are in a better position than conventional mutual funds to attract skilled managers because of their use of performance-based incentive fee structures.     

Dynamic Effects of Information Disclosure on Investment Efficiency

This paper studies how information disclosure affects investment efficiency and investor welfare in a dynamic setting in which a firm makes sequential investments to adjust its capital stock over time. We show that the effects of accounting disclosures on investment efficiency and investor welfare crucially depend on whether such disclosures convey information about the firm's future capital stock (i.e., balance sheet) or about its future operating cash flows (i.e., earnings). Specifically, investment efficiency and investor welfare unambiguously increase in the precision of disclosures that convey information about the future capital stock, since such disclosures mitigate the current owners' incentives to underinvest. In contrast, when accounting reports provide information about future cash flows, the firm can have incentives to either under‐ or overinvest depending on the precision of accounting reports and the expected growth in demand. For such disclosures, investment efficiency and investor welfare are maximized by an intermediate level of precision. The two types of accounting disclosures act as substitutes in that the precision of capital stock disclosures that maximizes investment efficiency (and investor welfare) decreases as cash flow disclosures become more informative and vice versa.     

股市波动对基金管理费报酬的影响研究——基于中介效应的分析

利用中介效应分析方法检验了理论假设:股市波动对基金管理费报酬有积极的影响,基金业绩在股市波动对基金管理费报酬的影响中存在正的中介效应,即基金有能力在股市波动中发掘机会来提高业绩,从而提高管理费报酬。实证结果表明,在没有增加基金业绩情况下,股市波动对基金管理费报酬具有积极影响,此结论从股市波动的视角证明了基金管理费激励机制并不是激励相容的。根据实证结果,可以从基金类型多样化、扩大管理费率范围和加强投资者教育等三个方面完善基金管理费激励机制。     

AN EMPIRICAL ANALYSIS OF MUTUAL FUND EXPENSES

Mutual fund investors are subjected to many fees and expenses related to both the management of the fund assets and the sale and distribution of the fund's shares. In recent years these expenses have increased as a percentage of assets. The preoccupation of mutual fund investors with using performance evaluation as a selection criterion is misguided because of the volatility of investment returns. Whether the fund's performance is due to superior management or just good luck is difficult to determine. On the other hand, mutual fund expenses are stable. As such, the mutual fund investor should pursue a policy of choosing funds with low expenses. In this paper we conduct an empirical analysis of these expenses. The results of our analysis of equity funds suggest that expense-conscious investors should look at the fund size, age, turnover ratio, cash ratio, and existence of a 12b-1 fee as key determinants of expenses. Our analysis of bond funds suggests that the key factors are the fund's sales charge, weighted average maturity, size, and existence of a 12b-1 fee.     

Intermediated Investment Management

Intermediaries such as financial advisers serve as an interface between portfolio managers and investors. A large fraction of their compensation is often provided through kickbacks from the portfolio manager. We provide an explanation for the widespread use of intermediaries and kickbacks. Depending on the degree of investor sophistication, kickbacks are used either for price discrimination or aggressive marketing. We explore the effects of these arrangements on fund size, flows, performance, and investor welfare. Kickbacks allow higher management fees to be charged, thereby lowering net returns. Competition among active portfolio managers reduces kickbacks and increases the independence of advisory services.     

The company you keep: Investment adviser clientele and mutual fund performance✰

This study examines how the composition of an investment adviser's client base (identified via Form ADV filings) relates to the performance of its mutual funds. Investment advisers catering to institutional clients realize statistically and economically superior risk-adjusted mutual fund performance relative to retail-oriented advisers. Subsequent tests identify the channel(s) responsible for the relationship. The evidence is consistent with both a governance mechanism (i.e., Evans and Fahlenbrach 2012) as well as inefficiencies stemming from the costly search mechanism of Gârleanu and Pedersen's (2018) model for asset management. The results suggest that institutional clients can identify better performing investment managers, particularly in market segments where retail mutual fund investors face higher search costs.     

Daily mutual fund flows and redemption policies

We examine how redemption policies affect daily fund flows in open-end mutual funds. Since short-term trading of fund shares, as manifested in daily fund flows, can have an adverse impact on returns to the fund’s shareholders, mutual funds might find it desirable to discourage short-term trading through the use of redemption fees. However, if daily fund flows are due to fund shareholders’ legitimate liquidity demands, the redemption fee would have little effect on daily fund flows and possibly adversely affect fund shareholders by imposing a liquidity cost on them. We find that the likelihood of a fund charging a redemption fee is largely a function of its overall fee structure. We also use a sample of funds that imposed redemption fees to examine whether the distribution of daily fund flows changes after the initiation of the redemption fee. We find that the redemption fee is an effective tool in controlling the volatility of fund flows.     

The ABCs of mutual funds: On the introduction of multiple share classes

We study a significant innovation with widespread consequences for the mutual fund industry: the introduction of multiple-class funds that give investors a choice among alternative load and fee structures. The transition to a multiple-class structure represents an important step in the evolution of the mutual fund industry. It also provides a well-controlled setting for research on the structure of funds, on investor clienteles and their impact on fund performance and, more generally, about the manner in which financial innovations tend to be adopted. We develop a simple model of a fund's decision on whether and when to introduce new classes and empirically investigate the model's predictions that: (a) Funds with more skilled management, less sensitivity of flows to performance, smaller size, higher existing loads and membership in larger families are better positioned to benefit and, therefore, more likely to switch to a multiple-class structure earlier; (b) The new classes increase the level and volatility of fund inflow by attracting investors with short and uncertain investment horizons – which, in turn, can negatively impact fund performance. Our empirical results are generally supportive of the model's predictions.     

Reputation and performance fee effects on portfolio choice by investment advisers

This paper examines a two-period model of investment management. Investors reallocate their wealth between two mutual funds managed by different investment advisers after observing the performance of each adviser in the first period. A reputation effect causes one adviser to choose a portfolio in the first period that is extreme given his private information about asset returns. Extreme portfolios are costly for risk-averse advisers and investors because mutual funds are riskier than in one-period or single-adviser settings. Adoption of a performance fee mitigates undesirable reputation effects and results in superior ex ante payoffs to investors.     

Share Tipsters and Fair Advertising

The paper considers the concept of ‘fairness' as it applies to the advertisements of investment advisers. In the light of the empirical evidence relating to the performance of investment tipsters and fund managers, it is argued that current advertising practices tend to raise investors’ expectations to unrealistic levels. Possible changes to advertising practice regulations are considered.     

Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds

Polynomial goal programming (PGP) is a flexible method that allows investor preferences for different moments of the return distribution of financial assets to be included in the portfolio optimization. The method is intuitive and particularly suitable for incorporating investor preferences in higher moments of the return distribution. However, until now, PGP has not been able to meet its full potential because it requires quantification of “real” preference parameters towards those moments. To date, the chosen preference parameters have been selected somewhat “arbitrarily”. Our goal is to calculate implied sets of preference parameters using investors’ choices of and the importance they attribute to risk and performance measures. We use three groups of institutional investors—pension funds, insurance companies, and endowments—and derive implied sets of preference parameters in the context of a hedge fund portfolio optimization. To determine “real” preferences for the higher moments of the portfolio return distribution, we first fit implied preference parameters so that the PGP optimal portfolio is identical to the desired hedge fund portfolio. With the obtained economically justified sets of preference parameters, the well-established PGP framework can be employed more efficiently to derive allocations that satisfy institutional investor expectations for hedge fund investments. Furthermore, the implied preference parameters enable fund of hedge fund managers and other investment managers to derive optimal portfolio allocations based on specific investor expectations. Moreover, the importance of individual moments, as well as their marginal rates of substitution, can be assessed.     

Mutual fund flows and investor returns: An empirical examination of fund investor timing ability

We examine the timing ability of mutual fund investors using cash flow data at the individual fund level. Over 1991–2004 equity fund investor timing decisions reduce fund investor average returns by 1.56% annually. Underperformance due to poor timing is greater in load funds and funds with relatively large risk-adjusted returns. In particular, the magnitude of investor underperformance due to poor timing largely offsets the risk-adjusted alpha gains offered by good-performing funds. Investors in both actively managed funds and index funds exhibit poor investment timing. We demonstrate that our empirical results are consistent with investor return-chasing behavior.     

Fund manager conviction and investment performance

This paper examines the role conviction plays in asset management and its relationship with investment returns. We measure the strength of fund manager conviction through a fund's Active Share, i.e., the extent to which an investment portfolio differs from its benchmark index. First, we show fund manager conviction increases following both superior and, surprisingly, inferior past performance, and more so among solo-managed than team-managed funds. Second, and more importantly, we find an inverse-U relationship between conviction and subsequent performance. High levels of conviction proxied by high Active Share are associated with lower future returns and greater fund risk. Our study also illustrates an asymmetric investor reaction to fund manager conviction in the form of higher (lower) fund inflows rewarding good performance by high (low) conviction managers, but no pronounced penalties for poor performance, ceteris paribus.     

Persistent performance in the mutual fund market: Tests with funds and investment advisers

Recent studies of mutual funds have concluded that there is some evidence of superior performance. We test for the existence of superior performance and its persistence with mutual funds and mutual fund investment advisers on a data set of monthly returns from 1979 to 1989 for 1,387 mutual funds grouped by 243 advisers. We find no evidence of superior performance or its persistence but we do find significant evidence of persistence of inferior performance. Consistent with previous studies our findings depend on the benchmark chosen, with multiple benchmarks producing a larger degree of inferior performance.     

MUTUAL FUNDS SELECTION BASED ON FUNDS CHARACTERISTICS

The popular investment strategy in the literature is to use only past performance to select mutual funds. We investigate whether an investor can select superior funds by additionally using fund characteristics. After considering the fund fees, we find that combining information on past performance, turnover ratio, and ability produces a yearly excess net return of 8.0%, whereas an investment strategy that uses only past performance generates 7.1%. Adjusting for systematic risks, and then using fund characteristics, increases yearly alpha significantly from 0.8% to 1.7%. The strategy that also uses fund characteristics requires less turnover.     

Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

Abstract

Segregated funds have become an extremely popular Canadian investment vehicle. These instruments provide long-term maturity guarantees and often include complex option features. One controversial aspect is the reset feature, which provides the ability to lock in market gains. Recently, regulators have announced that firms offering these products will be subject to new capital requirements. This paper discusses the effects of volatility, interest rates, investor optimality, and product design on the cost of providing a segregated fund guarantee. For each scenario, the authors provide the appropriate management expense ratio (MER) that should be charged and demonstrate the current liability using a given fixed MER. The paper also investigates intuitive reasons that cause the reset feature to require such a dramatic increase in the hedging costs. Finally, an approximate method for handling the reset feature is presented that can be computed very efficiently, provided the correct proportional fee is charged.     

投资银行-机构投资者关系、“捧场”与IPO中的利益问题

投资银行是直接融资过程中最重要的中介机构,作为融资产品的“卖方”代表,其核心竞争力源于它所构建的投资者关系网络,但现有文献对于投行-投资者关系在证券发行中的作用还缺乏系统的实证研究。本文利用机构投资者在中国IPO新股发行中的完整询价记录,基于报价参与和报价水平两个维度提出了一种新的动态关系强度测算方法,并由此细致刻画了投行-机构关系对股票发行、定价的作用机制。结果发现:(1)投行可以驱动关系机构主动认购其承销的IPO新股,并引导关系机构给出与投行估值水平保持一致的高位报价,进而有效缓解了IPO拍卖制下的“投资者参与不确定性问题”。(2)关系机构的捧场报价显著提高了股票发行价格、增加了投行的承销收入;但是当新股交易价格在长期内逐渐向其内在价值水平收敛时,受到关系机构捧场支持越多的IPO新股,其长期回报率相对越低。(3)投行与机构的关系在本质上是互惠的,一旦投行被赋予新股分配权力,它明显倾向于将新股抑价发行带来的巨大利益分配给在前期捧场的关系机构,二者的关系越强,机构报价被认定为“有效报价”的概率越高,而一旦被认定为有效报价,关系机构的新股需求更是将被优先满足。