费率结构对证券投资基金风险承担行为的影响研究

研究了一类线性费率结构对基金风险承担行为的影响.研究发现,随着基金管理费率不对称程度的增加,基金经理所选择的投资组合偏离基准组合(在本文即指市场组合)的程度将增加.特别地,当因基金的收益小于市场组合的收益而对基金经理的处罚为0,即基金管理费率不对称程度最大时,基金组合将完全偏离市场组合.同时发现,基金经理风险规避系数越小、因基金收益超过市场收益而对基金经理的奖励程度越小,以及证券A(代表基金组合中不同于市场组合的部分)相对市场组合的收益越大而波动越小,则基金组合偏离市场组合的程度也将越大.研究还表明,基金组合偏离市场组合程度的增加不一定导致基金收益的方差的增加,这表明在以前的一些实证研究中用基金收益的方差来度量基金的风险不一定有效,用基金组合偏离基准组合的程度来度量基金的风险更合适.

Study on the Impact of the Structure of Management Fee Rate on the Risk-taking Behavior of Security Investment Fund

In this paper, we investigate of the impact of a kind of linear structure of management fee rate on the risk-taking behavior of security investment fund. Our study show that the optimal portfolio which the fund manager choose will deviate more from the benchmark portfolio, namely market portfolio, when the degree of the asymmetry of the structure of management fee rate increase. Especially, when the return of the fund is less than that of the market portfolio and the penalty of the fund manager is zero, that is the degree of the asymmetry of the structure of management fee rate is maximum, the fund portfolio will completely deviate from the market portfolio. At the same time, we also find that the smaller the fund manager's risk aversion coefficient, and the smaller the fund manager's bonus coefficient, and the larger the return of the security A relative to that of market portfolio while the smaller the variance of the return of the security A relative to that of the market portfolio, the more the degree of the fund portfolio deviating from the market portfolio. Our study also show that fund portfolio deviating from the market portfolio does not necessarily lead to the increase of the variance of the fund's return, and this indicate that using the variance of the fund's return to measure the risk of the fund in some previous empirical study is not appropriate, and so it is more appropriate for using the degree of the fund portfolio deviating from the benchmark portfolio to measure the risk of the fund.