CRITICAL FINANCE REVIEW · Forthcoming· 2017

FOF对基金的选择

作者：Edwin J. Elton (New York University),

Martin J. Gruber (New York University)

Andre de Souza (St. John’s University)

摘要：FOF基金经理在评估自身基金家族的基金业绩方面拥有公众接触不到的信息。然而，他们可能会出于对基金家族或自我服务的考虑伤害股东利益。通过考察FOF的单笔交易历史，我们证明了尽管FOF基金经理拥有内部信息，但他们选择的基金比随机选择的基金业绩还差。这样的情况可以被基金经理满足基金家族和管理的目标解释。具有排他性地投资非基金家族的FOF不需要面对来自基金家族和管理的目标，业绩表现得比投资于基金家族内部的FOF更好。

关键字：FOF，业绩，利益冲突

Fund of Funds Selection of Mutual Funds

Edwin J. Elton (New York University), Martin J. Gruber (New York University), Andre de Souza (St. John’s University)

ABSTRACT

Managers of Fund of Funds have access to information not available to the general public in evaluating funds from their own family. However, they may have family or selfserving motives that can hurt shareholder performance. By examining a history of individual transactions of Funds of Funds, we show that managers of Fund of Funds despite access to non-public information select individual funds that underperform random selection. Much of this underperformance is shown to be explained by managers satisfying a specific set of family and management goals. Fund of Funds that invest exclusively outside their fund family do not face these family and management goals and they outperform funds of funds that invest inside the family.

Keywords: Fund of Funds, Performance, Conflict of interest

原文链接：

http://cfr.ivo-welch.info/readers/2018/elton-gruber-desouza-2018.pdf

翻译：吴雨玲