基金锦标赛和风格漂移

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103730

Li Yi, Yuelin Yan

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引用次数: 0

摘要

本文从规模、价值和动量三个维度考察了中国共同基金如何在年度锦标赛中根据过往表现主动改变其前十大持股的风格漂移。以 2006 年至 2023 年的股票型基金为样本，我们发现在前三个季度表现不佳的基金往往会在最后一个季度增加其风格漂移活动。对于不同维度的风格漂移，我们发现，仅仅增加规模漂移就能提高落后基金的业绩和排名，并降低基金净值暴跌的风险。证据表明，规模漂移的有意转变是有技巧的。此外，我们还发现，规模漂移变化对活跃度高的锦标赛基金的影响尤为明显。

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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Fund tournaments and style drift

This paper examines how Chinese mutual funds actively alter the style drift of their top ten holdings in response to past performance in annual tournaments from the three dimensions: size, value, and momentum. Using a sample of equity funds from 2006 to 2023, we find that poorly performing funds in the first three quarters tend to increase their style drift activities in the last quarter. For different dimensions of style drift, we find that simply increasing size drift can improve the performance and ranking of a trailing fund and reduce the risk of the fund's net value crash. The evidence suggests that the intentional shifts in size drift are skilled. In addition, we find the better consequences of size drift change to be particularly pronounced for tournament funds with high activeness.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.