Journal of Banking & Finance·Volume 50, January 2015, Pages 157–168

關于共同基金使用期權：他們知道自己在做什麼嗎？

作者：Gjergji Cici (Mason School of Business, University of Cologne), Luis-Felipe Palaciosc (WRDS, University of Pennsylvania)

摘要：鑒于最近對共同基金衍生工具交易行為的監管調查，我們檢驗了其具體的期權持有量，以此來探究共同基金如何使用期權、哪些基金使用期權以及期權如何影響共同基金的業績和風險。共同基金使用期權與創收和對沖動機一緻，也與投資組合經理的經驗、教育水平和性别特征系統性相關，但平均而言，使用期權并不會帶來業績效益。相反，某些使用期權的行為将導緻基金表現不佳。另外，并沒有記錄顯示期權的使用者承擔了更多的永久性或臨時性激進風險，相反的，我們發現了一些基金通過使用期權有效地降低了風險。

關鍵詞：期權，共同基金，衍生工具，業績，對沖，投機

On the use of options by mutual funds: Do they know what they are doing?

Gjergji Cici (Mason School of Business, University of Cologne), Luis-Felipe Palaciosc (WRDS, University of Pennsylvania)

ABSTRACT

Given recent regulatory inquiries into the derivative-trading practices of mutual funds, we examine their detailed option holdings to assess how mutual funds employ options, what funds use options, and how that affects performance and risk. Mutual funds’ use of options appears consistent with income generation and hedging motives, is systematically related to experience, education, and gender characteristics of portfolio managers, and does not lead to performance benefits, on average. Instead, certain uses of options lead to underperformance. We document no permanent or temporary aggressive risk taking by options users, finding instead that some funds use options to effectively lower risk.

Keywords: Options, Mutual funds, Derivatives, Performance, Hedging, Speculation

原文鍊接：

http://dx.doi.org/10.1016/j.jbankfin.2014.09.008

翻譯：賈夢悅