基金业绩如何影响风格漂移与基金经理更换——来自中国的理论与经验证据

Abstract

Buying funds is an important channel for investors who lack the professional skills to obtain good returns on securities, and the investment styles of funds are expected to help in matching investors with the funds that are most appropriate in terms of goals and risk preferences. However, in practice many funds deviate significantly from their pre-committed investment styles. Funds often gravitate toward "market hotspots", resulting in so-called "style drift". Although the existing literature has empirically identified many contributing factors for style drift, no unified analytical framework has explained the underlying mechanisms and the ensuing effects of style drift. This paper presents a theoretical and empirical examination of how the performance of funds affects their tendency for style drift and for dismissal of fund managers. We emphasize the crucial role of fund performance, for good performance is usually the key target for both fund companies and managers. To start with, we assume that fund performance increases with the manager's ability in terms of first-order stochastic dominance. However, at any given time neither the company nor the manager himself/herself knows exactly what the manager's ability is. Therefore, the company needs to use the Bayes rule to update its belief of manager ability based on its available information, and especially its information on historical fund performance. We build a two-period theoretical model and derive three results: (1) There is a U-shaped relationship between fund style drift in the second period and fund performance in the first period. (2) Fund managers with poor first-period performances have incentives to mimic the investment styles of funds with excellent first-period performances. (3) Consecutively underperforming fund managers are more likely to be fired in the second period if the market has experienced a style drift. To test these results, we collect the quarterly data on 1,579 open-end funds in China from 2008 to 2017. We measure the funds' performances by fund ranking, characterize the fund investment styles according to Sharpe's strong model, and use the "Manhattan distance" of the investment styles of each fund over two periods to measure the degrees of fund style drift. Our empirical analysis strongly supports our theoretical results. First, we find a significant U-shaped relationship between fund ranking and style drift. Second, the Granger causality test shows that low-ranking funds do tend to imitate the investment styles of the funds with excellent performances in the last period. Third, fund companies are more likely to replace fund managers who have poor previous performance when the optimal style of the market changes. To tackle potential endogenous problems due to missing variables or other causes, we use a one-period-lagged fund size change as our instrument for fund ranking, and IV estimation shows that our conclusions remain unchanged. Our paper makes several potential contributions to the literature. (1) To our limited knowledge, we are the first to characterize the micro-foundation for how fund performance affects fund style drift and the dismissal of fund managers via beliefs of the players in a two-period model. (2) We measure fund style drift by using the "Manhattan distance" of investment styles between two periods. This approach is more suitable than traditional measures for analyzing China's financial market with its high volatility and frequent style rotations. (3) Unlike the existing related literature, which simply divides funds into winners and losers and then investigates the cross-group differences in their managers' attitudes towards risk and investment styles, we study the U-shaped relationship between fund ranking and style drift over the whole spectrum of performance. Our findings shed some light on investment decision-making. If investors have high tolerance for risk, they can seek high rates of return by buying funds with continuous outstanding performance without paying attention to those funds' style drifts. However, for investors with low risk tolerance, they'd better focus on funds which are ranked in the middle and share similar investment styles with them.