基金“抱团”：净值增长与暴跌风险

摘要/Abstract

摘要： 2006-2020年我国公募基金主要经历了四次"抱团",每次"抱团"都存在持续加深和快速瓦解的过程。本文以我国开放式主动权益类基金为样本,利用基金持股矩阵和行业矩阵构造了基金重合度指标,研究了基金"抱团"行为及该行为对基金业绩和风险的影响。研究结果表明:首先,我国公募基金呈现出明显的"抱团"特征,大规模和持股分散的基金更倾向于"抱团";其次,"抱团"股票能够显著提升基金的业绩且该作用效果对于投资能力较弱、风格较为保守以及规模较大的基金更明显。进一步研究发现,"抱团"增加了基金净值暴跌风险,不利于证券市场的稳定。本文研究对于基金投资者和管理者策略的选择以及基金市场风险的防范都具有重要意义。

关键词: 基金“抱团”, 基金业绩, 投资能力, 投资风格, 暴跌风险

Abstract: From 2006 to 2020, China’s mutual funds “held together” four times, each of which witnessed a process of deepening and rapid disintegration. In this paper, we take China’s open-ended active equity funds as a sample and use the funds’ shareholding matrix and industry matrix to construct a fund overlap index to study their “holding together” and its impact on them. The results show that: first of all, China’s funds have obviously similar stock portfolio and industry portfolio, funds show obvious characteristics of “holding together” and “holding together” can significantly improve the performance of funds; second, “holding together” help funds with weaker investment abilities and more conservative investment styles to achieve higher returns, but it is not conducive to funds with stronger investment abilities. Further research finds that “holding together” increases fund crash risk, which is not conducive to the stability of the securities market. The research of this paper is of great significance to the investment strategy selection of fund managers and the prevention of fund market risks.

Key words: holding together, fund performance, investment ability, investment style, crash risk

苏治, 贺旭, 张永冀. 基金“抱团”：净值增长与暴跌风险[J]. 管理评论, 2024, 36(3): 30-44,145.

Su Zhi, He Xu, Zhang Yongji. Fund "Holding Together": Performance and Crash Risk[J]. Management Review, 2024, 36(3): 30-44,145.

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