Do Portfolio Manager Contracts Contract Portfolio Management?

Jung Hoon Lee, Charles Trzcinka, Shyam Venkatesan
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引用次数: 24

Abstract

Most mutual fund managers have performance‐based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid‐year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk‐shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow‐performance relation, suggesting that risk‐shifting is motivated more by management contracts than by a tournament to capture flows.
项目组合经理是否与项目组合管理签订合同?
大多数共同基金经理都有基于业绩的合同。我们的理论预测,具有非对称合约且年中业绩接近其公布基准的共同基金经理,在今年下半年会增加其投资组合风险。正如我们的理论所预测的那样,绩效偏离基准只会减少具有绩效合同的经理的风险转移。偏离基准在流量-绩效关系的激励中占主导地位,这表明风险转移更多地是由管理合同驱动的,而不是由争夺流量的比赛驱动的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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