中国基金经理的不同激励模式与基金业绩的实证研究

发布时间：2018-03-22 22:14

本文选题：基金经理激励　切入点：基金业绩　出处：《吉林大学》2012年博士论文　论文类型：学位论文

【摘要】：我国的基金投资行业的是随着金融和投资市场的需要发展起来的。人们的理财需求促进了专业投资者代理投资的繁盛，凸显了投资者委托专业人士理财的必要性和可行性。在基金发展过程中对基金公司和基金经理的激励问题，始终是投资者和学术界最关心的问题。目前我国公开发行募集的基金（简称公募基金）主要采用提取固定管理费的形式，按照基金类型不同，根据管理的资产净值，按照不高于3%不低于0.5%的额度，按日提取按月结算管理费用，作为基金公司运作管理基金的收入来源。与此对应，民间的私募型基金对基金管理者的激励多采用业绩提成激励方式，即基金管理者的收入来源于所管理资产增值的一部分，管理者与投资者的收益紧密结合在一起，这种激励方式的强度明显大于固定管理费模式。本文研究力求为基金经理激励研究提供实证支持，帮助投资者甄别不同激励模式下基金业绩优劣，为目前信托型私募基金的制度完善提供实证支持，鼓励为中国的基金经理拓展更广阔的职业发展空间。第一章引言部分，，介绍文章的研究背景、研究对象的界定和文章的创新之处。第二章是文献综述部分，主要回顾了不同类型的基金激励机制的发展，介绍了对冲基金和中国阳光私募基金的现状，总结了国内外学者对基金经理激励机制的研究成果；梳理了委托代理理论与基金激励的关系，进一步说明了声誉机制对基金经理的激励效果。第三章主要通过电话回访的形式了解了我国基金经理的决策权现状以及激励形式，并对信托型私募基金的运作情况进行描述梳理，发现我国的公募型基金经理只具有部分决策权，其薪酬体系由公司考虑管理基金的规模、相对业绩、绝对业绩、风险控制等多种指标之后，设置薪酬考核系统；信托型私募基金大多数采用有限公司或有限合伙制，基金经理和主要投资决策人为企业的发起人或者合伙人，拥有公司的剩余索取权，能够将代理成本有效降低。正因为如此，我国的信托型私募基金近年来获得了蓬勃的发展，也得到了投资者的认同。经过充分的信息收集之后，我们将公募型基金经理和信托型私募基金经理的效用函数的进行了统一设置，通过改变方程的参数代表不同形式的激励模式。通过数理推导提出了假设，认为高业绩费的激励模式能够让投资能力强的基金经理提高基金业绩，提高投资者的收益，但同时也会带来较高的风险。第四章是对不同激励模式下的公募型基金和私募基金的收益、风险、经过风险调整后的收益、超越业绩基准的收益等指标做对比研究，我们发现，提取高业绩费的信托型私募基金经理管理的基金业的业绩在考察期内要显著优于公募型基金，但个别私募基金经理的风险控制能力较差，给投资者带来了损失。在经过风险调整之后，信托型私募基金依然体现出优越性，不仅超越了公募基金，还大幅超越市场基准。我们又对信托公司自主管理的基金、采用持基激励的基金、采用业绩费的公募基金三种不同运营模式的基金业绩进行分析，发现同样是对基金经理采用了额外的激励模式，由信托公司自主管理的基金业绩要明显好于其他两种类型的公募基金，这说明除了基金经理的激励机制是影响基金业绩的重要因素之外，还有其他的因素需要我们进行进一步的研究。第五章是对基金经理的选股能力和择时能力的评价。我们采用了TM模型和HM模型比较两类基金的不同点，并首次采用成功概率法进行辅助验证；同时对不同运行制度下的基金进行了详细的比较。 TM模型发现信托型私募基金经理和公募型基金经理均体现出不明显的正向选股能力和负向择时能力（不明显），但信托型私募基金经理的选股能力明显优于公募型基金经理，而择时能力两者相差不大；HM模型发现二者均体现出不明显的正向选股能力，信托型私募基金体现出不明显的正向择时能力，公募型基金呈现不明显的负向择时能力，但私募基金经理的择时能力优于公募基金经理，但选股能力二者相差不大。总体来看，私募基金经理的投资能力优于公募基金经理。当我们用成功概率法进行辅助性验证的时候，发现两种激励模式下基金经理对市场方向的预测和判断基本相当，公募基金经理还略胜一筹。综合前后的分析结果，我们认为我国基金行业基金经理的投资能力不具备显著的差异，投资业绩的差异关键在于对仓位的控制以及策略的灵活性。第六章验证了不同激励模式下的基金业绩的持续性，主要采用了交叉积比率指标对基金样本总体进行分析，并将业绩持续性划分为月度、半年和一年三个时期，以考察基金短期、中期和长期的业绩持续性；同时我们对不同运行制度下的基金采用自相关系数检验法，检验单只基金的持续性特点。短期（月度）和长期（年度）来看，无论是未经过风险调整的收益、夏普指数和詹森指数，公募型基金收益的连续性均高于信托型私募基金；而中期（半年）考察中，公募基金和信托型私募基金的持续性和反转特性都比较明显。第七章采用回归分析的方法，对影响基金业绩的激励模式因素的显著性做确定性分析，对基金业绩的选择同时采用了未经过风险调整的收益、夏普指数和詹森指数。选择了基金经理的从业时间、性别、学历、背景，以及管理基金的规模等几个变量作为控制变量，采用多元回归的方式进行验证，结果发现，无论是未经过风险调整的收益、还是基金的夏普指数和詹森指数，都受到激励模式因素的显著影响，从而证明了文章研究的基本前提。总体而言，本文通过细致的研究，发现： 1.信托型私募基金的总体业绩要好于公募型基金，在从2007年9月30日到2010年6月30日的考察期内，私募基金总体的平均收益高于公募型基金； 2．信托型私募基金经理总体的风险控制略逊于公募型基金，体现为收益的方差显著大于公募型基金，部分私募基金经理不具备稳健一致的投资策略和风险控制能力，会在高β值的诱惑下加大投资风险，给投资者带来损失； 3.优秀的私募基金经理在基金的管理运作上体现出整体显著的优越性，这些基金经理从业时间较长，受过良好的投资能力训练，具有非常成熟稳定的投资理念； 4.公募背景的基金经理管理的基金无论是绝对收益、相对收益、超越市场指数、风险控制等方面，都显现出超越私募平均水平的特征，也处于中国整个资产管理行业的最高端。最后，我们认为中国目前的基金行业发展阶段决定了不能单纯为了获取高收益而无节制提高投资风险，但需要鼓励多层次的基金经理激励模式，因此我们认为可以从以下三方面尝试1.现行的公募基金管理公司中建立多层次的激励模式，2.建立公司制基金公司，3.尝试以现有的私募基金行业为基础，建立联邦制基金公司。
[Abstract]:China's investment fund industry is with the financial and investment markets need to be developed. People's financial needs and promote the prosperity of professional investors investment agency, highlighting the professional financial investors to entrust the necessity and feasibility of the incentive problem of fund companies and fund managers in the fund development process, has always been the most concerned about investors and academic circles. At present our country public offering to raise funds (the public fund) by extracting a fixed management fee, according to the different types of funds, according to the net asset management, in accordance with not more than 3% of not less than 0.5% of the daily amount, extraction monthly management fees, as operation and management of fund companies the source of income. Correspondingly, private equity funds to private fund managers incentive by commission incentives, the fund managers' income From a part of the value added of the management assets, managers and investors' profits are closely combined, and the intensity of this incentive mode is obviously greater than the fixed management fee mode.
This paper tries to provide empirical support for the fund managers incentive research, help investors identify different incentive mode of fund performance, the trust based private equity fund system provides empirical support, encourage the expansion of occupation the broader development space for China fund managers.
The first chapter is the introduction, which introduces the background of the research, the definition of the research object and the innovation of the article.
The second chapter is literature review, mainly reviews the development of different types of fund incentive mechanism, introduces the current situation of hedge funds and Chinese sunshine private equity fund, summarizes the domestic and foreign scholars on the incentive mechanism of fund managers research; analyzes the relationship of principal-agent theory and incentive fund, further illustrates the incentive effect of reputation mechanism the fund manager.
The third chapter mainly through the form of telephone interviews to understand our fund manager decision-making status and incentive form, describe and sort the trust based private equity fund operation, found public offering fund managers in China is only part of the decision-making power, the salary system of the company management considering the size of the fund, relative performance after a variety of indicators, absolute performance, risk control, setting the compensation assessment system; private trust funds used by most companies or limited partnership, fund managers and investment decision mainly man-made business sponsors or partners, have residual claim, can effectively reduce the agency costs. Because of this, China the trust based private equity fund got rapid development in recent years, investors have also been recognized.
After collecting sufficient information, we will be the utility function manager raised fund managers and private trust funds of a unified set of equations, by changing the parameters represent different forms of incentive mode. Through mathematical derivation and put forward the hypothesis, that the high performance fee incentive model can make the investment ability of fund managers to improve the performance of the fund, investors increase the revenue, but will also bring a higher risk.
The fourth chapter is about the different incentive mode of the public offering fund and private equity fund income and risk, after risk adjusted returns, do comparative study, income and other indicators beyond the performance benchmark, we found that the extraction of high performance fee trust based private equity fund manager of the fund industry's performance was significantly better than the public offering the fund in the study period, but the individual private equity fund manager's risk control ability is poor, losses to investors. After risk adjustment, trust based private equity fund still has superiority, not only beyond the public fund, but also greatly exceeded the market benchmark.
We have to trust company independent management of the fund, the fund incentive fund, was used to analyze the performance of the public fund fee of three kinds of different operation modes in the performance of the fund, the fund manager is also found by the additional incentive mode, by the trust company independent management of the fund performance is significantly better than the other two types this shows that the public fund, in addition to the incentive mechanism of fund managers is an important factor affecting the fund's performance, there are other factors we need further research.
The fifth chapter is the evaluation of fund managers' stock selection ability and timing ability. We use the TM model and the HM model to compare the differences between the two funds, and use the successful probability method for the first time to assist the verification. At the same time, we make a detailed comparison of the funds under different operation systems.
Manager of trust based private equity fund and the public offering fund managers are reflected not obvious positive and negative selection ability and market timing ability of TM model (not significantly), but the selectivity was significantly better than the public offering fund manager private trust funds, and there is little difference between the timing ability; two are reflected no obvious positive selection ability of HM model, trust based private equity fund reflects the obvious positive timing ability, raised funds showed no obvious negative market timing ability, but a private equity fund manager's timing ability is better than the public fund managers, but the stock selection ability of two is not large. Overall, private the fund manager's investment ability is better than the public fund managers.
When we use the probability method for auxiliary verification, found that the prediction and judgment of the two fund managers incentive mode to the direction of the market is quite basic, public fund managers have a stroke above. The comprehensive analysis of the results before and after, we believe that China's fund industry investment fund manager ability does not have significant differences, differences in investment performance the key is to position control and strategy flexibility.
The sixth chapter verified persistent excitation mode of fund performance, mainly using the cross product ratio index analysis of the fund overall sample, and the performance persistence is divided into monthly, half a year and three times, in order to study the fund short-term, medium-term and long-term performance persistence; at the same time we are on different the operation system of the fund by self correlation coefficient test, continuity test characteristics of the single fund.
The short-term (monthly) and long-term (annual), both without risk adjusted earnings, SHARP index and Jansen index, the continuity of the public offering fund income is higher than private trust funds; and the medium-term (six months) study, persistence and reversal characteristics of public fund and private trust funds are obviously.
The seventh chapter uses the method of regression analysis, make certain significance analysis on incentive mode of the influence factors of fund performance, fund performance is selected and adopted without risk adjusted earnings, SHARP index and the Jansen index. The working time, the fund manager's gender, education background, and the size of the fund management such variables as control variables, using multiple regression method to verify the results, both without risk adjusted earnings, or the fund's SHARP index and Jansen index are significantly affected by the factors of incentive mode, so as to prove the basic premise of the study.
In general, this article through careful study, found that:
1., the overall performance of the trust private fund is better than that of the public offering fund. In the period from September 30, 2007 to June 30, 2010, the average return of the private equity fund is higher than that of the public offering fund.
Trust based private equity fund manager 2. overall risk control was less than that of raised funds, reflects the variance of return was significantly greater than that raised funds, some private equity fund managers do not have the same robust investment strategy and risk control ability, will increase the investment risk in the high beta value of temptation, cause losses to investors;
3., excellent private equity fund managers have obvious advantages in the management and operation of funds. They have been trained for a long time and have been trained well in investment ability. They have a very mature and stable investment concept.
4., the funds managed by fund managers under the background of public offering, both absolute income, relative income, beyond market index and risk control, all show the characteristics of exceeding the average level of private placement, and are also at the top end of China's whole asset management industry.
Finally, we believe that the current stage of development of the fund industry Chinese decision not only in order to obtain high yield without control to increase the investment risk, but the need to encourage the multi-level fund managers incentive model, so we can try to establish a multi-level incentive model 1. current public fund management company from the following three aspects, the establishment of 2. corporate fund companies, 3. attempts by the existing private equity fund industry as the foundation, the establishment of federal funds.

【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

【引证文献】