关闭共同基金对新投资者的悖论
1Institute of Finance, Corvinus University of Budapest, Budapest, Hungary.
PloS one
|September 14, 2023
概括
关闭新投资者的共同基金不会维持优异的业绩. 平均回归股票回报率,而不是基金策略,解释了收盘后的业绩下降.
科学领域:
- 金融 金融 金融 金融 金融
- 投资管理 投资管理
背景情况:
- 投资基金在实现高绩效时经常接近新投资者.
- 这是一个悖论,因为封闭基金往往会在封闭后失去异常的表现.
研究的目的:
- 解释为什么积极管理的共同基金在向新投资者关闭后无法保持异常业绩.
- 调查投资策略和股票回报在业绩恶化的作用.
主要方法:
- 对大量活跃的美国股权共同基金的样本进行分析.
- 关闭和开放基金之间的绩效排名和投资组合配置的比较.
- 审查风险调整的业绩和投资策略,在基金关闭之前和之后.
主要成果:
- 封闭基金的绩效排名恢复到平均水平,类似于开放基金.
- 投资组合配置和风险调整后的业绩在关闭后基本保持不变.
- 平均回归股票回报被确定为业绩下降的主要驱动因素.
结论:
- 关闭新投资者并不能防止业绩恶化.
- 基金不会通过关闭来增强资产保护或独家性.
- 关闭一个共同基金的新投资者通常是不必要的独立基金的表现.
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