本文選題：基金經(jīng)理激勵　切入點：基金業(yè)績　出處：《吉林大學》2012年博士論文　論文類型：學位論文

【摘要】：我國的基金投資行業(yè)的是隨著金融和投資市場的需要發(fā)展起來的。人們的理財需求促進了專業(yè)投資者代理投資的繁盛，凸顯了投資者委托專業(yè)人士理財?shù)谋匾院涂尚行浴Ｔ诨鸢l(fā)展過程中對基金公司和基金經(jīng)理的激勵問題，始終是投資者和學術界最關心的問題。目前我國公開發(fā)行募集的基金（簡稱公募基金）主要采用提取固定管理費的形式，按照基金類型不同，根據(jù)管理的資產(chǎn)凈值，按照不高于3%不低于0.5%的額度，按日提取按月結算管理費用，作為基金公司運作管理基金的收入來源。與此對應，民間的私募型基金對基金管理者的激勵多采用業(yè)績提成激勵方式，即基金管理者的收入來源于所管理資產(chǎn)增值的一部分，管理者與投資者的收益緊密結合在一起，這種激勵方式的強度明顯大于固定管理費模式。 本文研究力求為基金經(jīng)理激勵研究提供實證支持，幫助投資者甄別不同激勵模式下基金業(yè)績優(yōu)劣，為目前信托型私募基金的制度完善提供實證支持，鼓勵為中國的基金經(jīng)理拓展更廣闊的職業(yè)發(fā)展空間。 第一章引言部分，，介紹文章的研究背景、研究對象的界定和文章的創(chuàng)新之處。 第二章是文獻綜述部分，主要回顧了不同類型的基金激勵機制的發(fā)展，介紹了對沖基金和中國陽光私募基金的現(xiàn)狀，總結了國內(nèi)外學者對基金經(jīng)理激勵機制的研究成果；梳理了委托代理理論與基金激勵的關系，進一步說明了聲譽機制對基金經(jīng)理的激勵效果。 第三章主要通過電話回訪的形式了解了我國基金經(jīng)理的決策權現(xiàn)狀以及激勵形式，并對信托型私募基金的運作情況進行描述梳理，發(fā)現(xiàn)我國的公募型基金經(jīng)理只具有部分決策權，其薪酬體系由公司考慮管理基金的規(guī)模、相對業(yè)績、絕對業(yè)績、風險控制等多種指標之后，設置薪酬考核系統(tǒng)；信托型私募基金大多數(shù)采用有限公司或有限合伙制，基金經(jīng)理和主要投資決策人為企業(yè)的發(fā)起人或者合伙人，擁有公司的剩余索取權，能夠將代理成本有效降低。正因為如此，我國的信托型私募基金近年來獲得了蓬勃的發(fā)展，也得到了投資者的認同。 經(jīng)過充分的信息收集之后，我們將公募型基金經(jīng)理和信托型私募基金經(jīng)理的效用函數(shù)的進行了統(tǒng)一設置，通過改變方程的參數(shù)代表不同形式的激勵模式。通過數(shù)理推導提出了假設，認為高業(yè)績費的激勵模式能夠讓投資能力強的基金經(jīng)理提高基金業(yè)績，提高投資者的收益，但同時也會帶來較高的風險。 第四章是對不同激勵模式下的公募型基金和私募基金的收益、風險、經(jīng)過風險調(diào)整后的收益、超越業(yè)績基準的收益等指標做對比研究，我們發(fā)現(xiàn)，提取高業(yè)績費的信托型私募基金經(jīng)理管理的基金業(yè)的業(yè)績在考察期內(nèi)要顯著優(yōu)于公募型基金，但個別私募基金經(jīng)理的風險控制能力較差，給投資者帶來了損失。在經(jīng)過風險調(diào)整之后，信托型私募基金依然體現(xiàn)出優(yōu)越性，不僅超越了公募基金，還大幅超越市場基準。 我們又對信托公司自主管理的基金、采用持基激勵的基金、采用業(yè)績費的公募基金三種不同運營模式的基金業(yè)績進行分析，發(fā)現(xiàn)同樣是對基金經(jīng)理采用了額外的激勵模式，由信托公司自主管理的基金業(yè)績要明顯好于其他兩種類型的公募基金，這說明除了基金經(jīng)理的激勵機制是影響基金業(yè)績的重要因素之外，還有其他的因素需要我們進行進一步的研究。 第五章是對基金經(jīng)理的選股能力和擇時能力的評價。我們采用了TM模型和HM模型比較兩類基金的不同點，并首次采用成功概率法進行輔助驗證；同時對不同運行制度下的基金進行了詳細的比較。 TM模型發(fā)現(xiàn)信托型私募基金經(jīng)理和公募型基金經(jīng)理均體現(xiàn)出不明顯的正向選股能力和負向擇時能力（不明顯），但信托型私募基金經(jīng)理的選股能力明顯優(yōu)于公募型基金經(jīng)理，而擇時能力兩者相差不大；HM模型發(fā)現(xiàn)二者均體現(xiàn)出不明顯的正向選股能力，信托型私募基金體現(xiàn)出不明顯的正向擇時能力，公募型基金呈現(xiàn)不明顯的負向擇時能力，但私募基金經(jīng)理的擇時能力優(yōu)于公募基金經(jīng)理，但選股能力二者相差不大。總體來看，私募基金經(jīng)理的投資能力優(yōu)于公募基金經(jīng)理。 當我們用成功概率法進行輔助性驗證的時候，發(fā)現(xiàn)兩種激勵模式下基金經(jīng)理對市場方向的預測和判斷基本相當，公募基金經(jīng)理還略勝一籌。綜合前后的分析結果，我們認為我國基金行業(yè)基金經(jīng)理的投資能力不具備顯著的差異，投資業(yè)績的差異關鍵在于對倉位的控制以及策略的靈活性。 第六章驗證了不同激勵模式下的基金業(yè)績的持續(xù)性，主要采用了交叉積比率指標對基金樣本總體進行分析，并將業(yè)績持續(xù)性劃分為月度、半年和一年三個時期，以考察基金短期、中期和長期的業(yè)績持續(xù)性；同時我們對不同運行制度下的基金采用自相關系數(shù)檢驗法，檢驗單只基金的持續(xù)性特點。 短期（月度）和長期（年度）來看，無論是未經(jīng)過風險調(diào)整的收益、夏普指數(shù)和詹森指數(shù)，公募型基金收益的連續(xù)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續(xù)性和反轉特性都比較明顯。 第七章采用回歸分析的方法，對影響基金業(yè)績的激勵模式因素的顯著性做確定性分析，對基金業(yè)績的選擇同時采用了未經(jīng)過風險調(diào)整的收益、夏普指數(shù)和詹森指數(shù)。選擇了基金經(jīng)理的從業(yè)時間、性別、學歷、背景，以及管理基金的規(guī)模等幾個變量作為控制變量，采用多元回歸的方式進行驗證，結果發(fā)現(xiàn)，無論是未經(jīng)過風險調(diào)整的收益、還是基金的夏普指數(shù)和詹森指數(shù)，都受到激勵模式因素的顯著影響，從而證明了文章研究的基本前提。 總體而言，本文通過細致的研究，發(fā)現(xiàn)： 1.信托型私募基金的總體業(yè)績要好于公募型基金，在從2007年9月30日到2010年6月30日的考察期內(nèi)，私募基金總體的平均收益高于公募型基金； 2．信托型私募基金經(jīng)理總體的風險控制略遜于公募型基金，體現(xiàn)為收益的方差顯著大于公募型基金，部分私募基金經(jīng)理不具備穩(wěn)健一致的投資策略和風險控制能力，會在高β值的誘惑下加大投資風險，給投資者帶來損失； 3.優(yōu)秀的私募基金經(jīng)理在基金的管理運作上體現(xiàn)出整體顯著的優(yōu)越性，這些基金經(jīng)理從業(yè)時間較長，受過良好的投資能力訓練，具有非常成熟穩(wěn)定的投資理念； 4.公募背景的基金經(jīng)理管理的基金無論是絕對收益、相對收益、超越市場指數(shù)、風險控制等方面，都顯現(xiàn)出超越私募平均水平的特征，也處于中國整個資產(chǎn)管理行業(yè)的最高端。 最后，我們認為中國目前的基金行業(yè)發(fā)展階段決定了不能單純?yōu)榱双@取高收益而無節(jié)制提高投資風險，但需要鼓勵多層次的基金經(jīng)理激勵模式，因此我們認為可以從以下三方面嘗試1.現(xiàn)行的公募基金管理公司中建立多層次的激勵模式，2.建立公司制基金公司，3.嘗試以現(xiàn)有的私募基金行業(yè)為基礎，建立聯(lián)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.

【學位授予單位】：吉林大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.51

【引證文獻】

相關期刊論文 前1條

1 李治娟;;美國基金行業(yè)現(xiàn)有激勵機制研究[J];知識經(jīng)濟;2013年14期

本文編號：1650633