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Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?

机译：市场状况和多元化对共同基金业绩的影响：在危机中，基金是否应该更集中？

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摘要

This paper investigates the non-monotonic and non-linear effect of diversification on mutual fund performance. We apply a frontier-based efficiency measure, the stochastic frontier approach, to estimate fund efficiency and the benefit of diversification. The empirical results indicate that concentration strategy may not be appropriate for fund managers, and the benefit of diversification disappears or negatively affects performance when a fund holds too large a number of different stocks. Moreover, this paper examines whether market conditions moderate the relation between diversification and fund performance. The result shows that the benefit of diversification increases within low market return, high market volatility, and financial crisis, implying that the number of stocks needed to achieve a well-diversified portfolio increases under such market conditions.
机译：本文研究了多元化对共同基金业绩的非单调和非线性影响。我们采用基于边界的效率衡量方法（即随机前沿方法）来估算资金效率和多元化的收益。实证结果表明，集中策略可能不适用于基金经理，而当一只基金持有大量不同股票时，多元化的好处就会消失或对业绩产生负面影响。此外，本文研究了市场条件是否缓和了多元化与基金绩效之间的关系。结果表明，在低市场收益，高市场波动性和金融危机下，多元化的收益增加，这意味着在这种市场条件下，实现良好多元化的投资组合所需的股票数量会增加。

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  • 来源
    《Journal of productivity analysis》 |2014年第1期|141-151|共11页
  • 作者

    Jin-Li Hu; Tzu-Pu Chang; Ray Yeutien Chou;

  • 作者单位

    Institute of Business and Management, National Chiao Tung University, 118, Chung-Hsiao W. Rd., Sec. 1, Taipei City 100, Taiwan;

    Institute of Economics, Academia Sinica, 128, Academia Road, Section 2, Nankang, Taipei City 115, Taiwan;

    Institute of Business and Management, National Chiao Tung University, 118, Chung-Hsiao W. Rd., Sec. 1, Taipei City 100, Taiwan,Institute of Economics, Academia Sinica, 128, Academia Road, Section 2, Nankang, Taipei City 115, Taiwan;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Diversification; Market conditions; Mutual funds; Non-monotonic effect; Stochastic frontier; Crisis;

    机译：多样化;市场状况;共同基金;非单调效果;随机边界;危机;

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