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本文探讨了投资组合的行业集中度与基金业绩之间的关系。采用Kacperczyk等的方法测量各基金的投资组合在13个行业中的资产配置情况,我们发现基金投资组合的行业集中度与基金业绩之间存在显著的负向关系,这说明行业集中度更高的基金业绩落后于那些实行分散化投资的基金。最后,不同子样本期间的考察表明结论是稳健的。因此,我们建议基金经理人在执行更为集中的行业投资策略时,应该保持谨慎的态度。
This article explores the relationship between industry concentration in a portfolio and fund performance. Using Kacperczyk’s method to measure the asset allocation of the fund’s investment portfolio in 13 industries, we find that there is a significant negative relationship between the fund concentration of the fund’s investment portfolio and the fund’s performance, which shows that the industry concentration is higher Fund performance lags behind that of diversified investment funds. Finally, the observations made during different sub-samples indicate that the conclusion is robust. Therefore, we recommend that fund managers should be cautious in implementing more focused industry investment strategies.