公募基金（共同基金）作为中国资本市场愈发重要的机构主体，通过提供多样化的投资渠道、促进资本形成和分配，从根本特征上，其应切实践行价值投资理念，成为助力中长期资金入市的重要力量；作为普惠金融典型代表，其应遵循“投资者为本”的基本理念，以投资者利益最大化为目标，承担助力居民财富增值的重要责任。然而，过去20多年，中国共同基金市场长期存在一个现实难题——“基金赚钱、基民不赚钱”，该问题包含两重涵义：一是基金管理人报酬（管理费收入）无风险地随基金规模稳步增长，而基金投资者承担全部风险和损失。二是基金的累计单位净值收益率明显高于基金投资者实际获得的收益率。由此可知，该现象本质是共同基金管理人与投资者之间长期利益冲突的具体表现，意味着基金行业可能严重背离了助力中国经济高质量发展和居民财富增值的根本期许。

上述问题已引发学术界和实践领域的广泛关注。现有讨论的核心是，由于固定收费制度以及基金规模与业绩之间的负相关关系（规模报酬递减），使得共同基金管理人追求基金规模与投资者追求业绩之间存在冲突。然而，这些讨论似乎并不足以解释和缓和这种长期利益冲突。首先，即使在固定收费模式下，基金管理人有扩大规模的动机，但其还需要用某种手段去实现。特别是利益冲突和投资者的有限理性等影响基金管理人行为的重要因素是否为基金管理人实现规模动机提供了机会？现有文献对此鲜有涉及。其次，用规模收益递减来解释当前利益冲突，未能阐明规模收益递减后，资金还持续流入的问题。由于基金规模由投资者资金流向和基金管理人行为共同决定。资金会流入业绩好的基金，即基金投资者的业绩追逐可能构成基金管理人的潜在激励。如果存在规模收益递减，投资者可以随时选择赎回资金，为何要充当利益冲突的长期受害者？以往文献可能忽略了资金流入中基金投资者的有限理性和被基金管理人利用、迎合的因素，而这可能是导致利益冲突长期存在的深层原因。此外，虽然决策层已经关注到共同基金的利益冲突问题，出台了系列旨在缓解该问题的政策措施。但这种利益冲突由来已久，说明相关措施还未从根本上解决问题。若考虑制度成本，采取降低管理费率等措施的效果也尚待检验。综上，导致这种利益冲突的原因可能很复杂。

本文试图挖掘这些复杂的原因。基于利益冲突化解的视角，本文从中国共同基金管理人的激励机制、基金投资者的有限理性和基金管理人的迎合行为三个层面，系统地揭示“基金赚钱，基民不赚钱”难题的根源，为中国共同基金管理人与投资者之间的长期利益冲突提供一个完整的解释。为此，在绪论基础上（第1章），本文首先对现有文献进行了梳理、总结和评述（第2章）；进而，结合相关理论，构建了本文的理论及实证分析框架（第3章）。在第4章，本文先基于三个基本假设，提出并构建了共同基金业绩-规模隐性激励方案的理论模型，得出理论推论。理论分析部分考虑了规模报酬递减和隐性业绩激励的激励安排是否会产生利益冲突。其次，本文从“共同基金管理人的业绩-规模隐性激励是否存在及其是否带来利益冲突（激励机制）—业绩隐性激励是否发挥了有效作用（基金投资者的有限理性）—利益冲突和投资者有限理性对共同基金管理人和基金家族行为的影响（基金管理人的迎合行为）”三个层面展开实证分析（第4章至第7章）。最后，本文总结了主要结论，并依此提出政策启示和研究展望（第8章）。本文实证部分的主要结论如下：

第一，基于业绩-规模隐性激励方案的理论模型及推论，本文实证考察了基金管理人隐性激励机制的存在性及其是否带来了利益冲突。本文发现，共同基金存在规模收益递减，但小规模（小于1亿）和较大规模（大于20亿）共同基金的业绩受到规模收益递减的影响不明显。因此，规模收益递减对基金管理人的约束作用有限。整体上，业绩激励发挥了作用，为了实现自身报酬最优，基金管理人有激励控制规模以降低业绩的减少。进一步分析表明，中小型基金的业绩激励收入会随着基金规模的增大而减少，隐性业绩激励对中小型基金有效；但大型基金（大于20 亿）的业绩激励收入和总报酬均随着基金规模的增大而增加，隐性业绩激励对大型基金的失效。综上，在业绩-规模隐性激励方案下，共同基金管理人与投资者之间存在利益冲突。只要规模足够大，基金管理人就不用担忧隐性业绩-规模激励收入会减少。因此，即使存在规模收益递减和业绩隐性激励，基金管理人仍有强烈的动机扩大规模，实现自身报酬最大化。最后，本文还从国内外文化差异和市场成熟度等方面解释了为何这种激励机制效果较差但依然被普遍采用。

第二，本文从基金投资者行为的层面考察了业绩隐性激励是否存在以及为何对大型基金激励失效。从基金投资者角度的验证显示两个现象，一是我国基金投资者具有明显的短期业绩追逐行为，表现为只追求最近1期原始收益率或相对排名；二是中国共同基金的业绩表现平均在下半年便发生反转，在两期和多期业绩持续性方面表现均不佳。结合以上两个现象，基金投资者在追逐一种业绩可持续的幻象，即“逐幻效应”，这表明基金投资者的短期业绩追逐行为是有限理性的。因此，本文引入近因效应和易得性偏差（认知偏差）解释以上特征。结合基金业绩-流量的凸性关系，“逐幻效应”意味着业绩-规模隐性激励难以对基金管理人发挥有效作用，反而成为其实现扩大规模动机手段。本文进一步分析指出，部分基金管理人会利用投资者的有限理性吸引资金流入，以便实现增大基金规模的自利目标，加剧利益冲突。此外，本文排除了规模报酬递减对基金业绩持续性差的唯一解释，综上证据，基金投资者的有限理性和共同基金的迎合利用可以更合理地解释为何共同基金在业绩持续性方面表现不佳，以及即使表现不佳仍然可以实现规模变现。

第三，本文从利益冲突和迎合理论视角，考察中国共同基金的持彩偏好、动机及后果，探讨基金管理人的行为是否受利益冲突和投资者有限理性影响。本文实证表明，整体上，相比市场组合和采取长期持股策略的共同基金，采取短期持股策略的共同基金具有更明显的持彩偏好。考虑这种异质性后，发现共同基金在上半年采取短期持彩策略不能显著正地或负向预测其未来半年和未来半年平均季度业绩，仅与同期、未来一个季度和未来半年平均月度业绩正相关。因此，理性投机动机不能完全解释共同基金的持彩偏好。其次，中国共同基金投资者没有表现出明显的彩票股或极端收益偏好，仅具有明显的短期业绩或排名追逐行为，从而排除共同基金的持彩偏好是为了迎合基金投资者的彩票股偏好。本文证据支持“利益冲突+迎合”假说，即共同基金采取短期持彩策略强化了基金业绩-流量的凸性关系，即采取短期持彩策略押注成功，实现短期业绩的提升或成为明星基金，则迎合了基金投资者有限理性的短期业绩（排名）需求，会吸引更多资金流入；而押注失败导致未来业绩变差，并不会出现明显的资金流出。进一步分析发现，采取短期持彩偏好的明星基金，其未来业绩的反转不会导致基金规模的显著减少。共同基金管理人还倾向于通过短期业绩宣传助力这种“利益冲突+迎合”动机的实现。共同基金的短期业绩（排名）持续差，往往在未来1期（半年度、季度、平均月度）便发生反转。因此，共同基金投资者的短期业绩追逐行为存在有限理性。以上结果表明，共同基金的短期持彩偏好实质是一种由利益冲突驱动的道德风险行为。这种由“利益冲突+迎合”动机驱动的短期持彩偏好满足了共同基金管理人的利益最大化，但严重损害基金投资者的利益，加剧二者之间的利益冲突。

第四，本文进一步考察了共同基金家族采取激进押注策略的动机和经济后果，在利益冲突驱动下，相较于个体基金，基金家族因旗下基金数量多、交易成本递减，通过彩票股策略“押注”成功的概率更大。即使多数基金表现不佳，少数成功的明星基金也能为整个家族带来显著的业绩和资金流入。因此，基金家族很可能采取这种策略以便实现自身收益最优，个体基金的持彩偏好也可能由基金家族驱动。研究表明，对于基金家族而言，通过旗下基金采取激进彩票策略“押注”，既实现了业绩收益，又实现流量变现。在基金家族层面，中国共同基金市场的投资者没有明显的彩票股偏好，仅表现出显著的业绩追逐行为；机制分析表明，押注策略最激进（High 25%）且业绩越好的基金家族，显著获得了更多资金流入。这说明基金家族的“押注”行为能否增加流入依赖于实现的业绩，这种业绩依赖机制在个体基金层面也显著存在。然而，仅追逐短期业绩的基金投资者也并非理性。一方面，个体基金业绩在未来1期（下半年）便发生反转，且采取激进持彩策略也没有实现显著更好的业绩。因此，基金投资者追逐的短期业绩不具有持续性，其业绩追逐行为存在有限理性。另一方面，虽然基金家族的“押注”行为实现了更好的业绩，但基金投资者不会持有整个家族的基金去构造投资组合。因此，基金投资者承担了风险损失。综上，基金家族的“押注”行为为自身带来“双赢”，但严重损害投资者的整体利益，进一步加剧基金管理人与投资者之间的利益冲突。

    本文拓展性地将委托-代理理论与有限理性和迎合理论相结合，从中国基金管理人的隐性激励机制、基金投资者的有限理性和基金管理人的迎合行为三个层面，揭示“基金赚钱，基民不赚钱”这一长期利益冲突问题的根源，并提供了化解路径。综上，本文证据表明，即使基于固定收费模式，业绩越好的基金才有更多资金流入，基金投资者的业绩追逐行为构成基金管理人的隐性激励，但这种业绩-规模隐性激励对大规模基金失效。而基金投资者短期业绩追逐存在的有限理性和理性基金管理人的迎合为共同基金行业长期存在利益冲突提供了一个更完整且有效的解释。本文结论为从根本上化解“基金赚钱、基民不赚钱”的现实阻碍提供了新的理论和实践依据，对共同基金的未来激励方案设计、投资者保护及机构行为监管均有一定启示意义。

As an increasingly important institutional participant in China’s capital market, public mutual funds play a pivotal role by providing diversified investment channels and promoting capital formation and distribution. At their core, these funds should embody the principles of value investing and become a vital force in facilitating the inflow of medium- and long-term capital into the market. Additionally, as a representative of inclusive finance, public mutual funds should adhere to the fundamental principle of “investor-centricity,” aiming to maximize investor interests and assume the significant responsibility of enhancing residents’ wealth. However, for more than two decades, China’s mutual fund market has faced a persistent challenge — “funds make money, but fund investors do not.” This issue embodies two key aspects: 1) Fund managers’ compensation (management fees) steadily increases with the growth of the fund’s size, while investors bear all the risks and losses. 2) The cumulative net asset value (NAV) return of the fund is significantly higher than the actual returns received by investors. Therefore, this phenomenon essentially reflects the long-standing conflict of interest between fund managers and investors, suggesting that the mutual fund industry may have deviated significantly from its fundamental goal of contributing to the high-quality development of China’s economy and enhancing residents’ wealth.

This issue has sparked widespread attention in both academic and practical circles. The central debate focuses on the conflict between fund managers’ pursuit of scale and investors’ pursuit of performance, which is exacerbated by the fixed fee structure and the negative correlation between fund size and performance (i.e., decreasing returns to scale). However, these discussions seem insufficient to explain and alleviate this long-standing conflict of interest. First, even under a fixed-fee model, fund managers are motivated to expand the fund’s size, but they still need to employ specific strategies to achieve this. In particular, do factors such as conflicts of interest and the limited rationality of investors, which significantly influence fund managers’ behavior, provide fund managers with opportunities to fulfill their scale-related motives? The existing literature scarcely addresses this issue. Second, while the decreasing returns to scale are used to explain the current conflict of interest, this does not account for why funds continue to flow into these funds even after diminishing returns set in. Since the size of the fund is determined by both investor capital inflows and the behavior of fund managers, capital tends to flow into well-performing funds. Thus, the performance-chasing behavior of fund investors might create potential incentives for fund managers. If decreasing returns to scale exist, and investors can redeem their investments at any time, why would they continue to be the long-term victims of the conflict of interest? Previous literature may have overlooked the factors of limited rationality among investors and how they are manipulated or catered to by fund managers, which could be the underlying reason for the persistent conflict of interest. Furthermore, although decision-makers have acknowledged the issue of conflicts of interest within mutual funds and have implemented a series of policy measures to alleviate this problem, the persistence of such conflicts indicates that these measures have not yet fundamentally addressed the issue. Considering institutional costs, the effectiveness of measures such as reducing management fees remains to be tested. In summary, the causes of this conflict of interest are likely to be quite complex.

This paper attempts to uncover the complex causes behind these issues. From the perspective of resolving conflicts of interest, this study systematically reveals the root causes of the “funds make money, but fund investors do not” problem at three levels: the incentive mechanisms of Chinese mutual fund managers, the limited rationality of fund investors, and the behavior of fund managers catering to investors. This provides a comprehensive explanation for the long-standing conflict of interest between mutual fund managers and investors. To achieve this, based on the introduction (Chapter 1), the paper first reviews, summarizes, and evaluates the existing literature (Chapter 2). Then, by integrating relevant theories, a theoretical and empirical analysis framework is developed (Chapter 3). In Chapter 4, based on three basic assumptions, the paper proposes and constructs a theoretical model of implicit performance-scale incentives for mutual funds, leading to theoretical inferences. The theoretical analysis considers whether decreasing returns to scale and implicit performance incentives create conflicts of interest. Secondly, the paper conducts empirical analysis from three aspects: 1) whether implicit performance-scale incentives exist for mutual fund managers and whether they lead to conflicts of interest (incentive mechanisms); 2) whether implicit performance incentives are effective (limited rationality of fund investors); 3) the impact of conflicts of interest and limited rationality on mutual fund managers’ and fund families’ behaviors (fund managers’ catering behavior) (Chapters 4 to 7). Finally, the paper summarizes the main conclusions and offers policy recommendations and suggestions for future research (Chapter 8). The main findings of the empirical analysis are as follows:

First, based on the theoretical model and inferences of the performance-scale implicit incentive scheme, this paper empirically examines the existence of the implicit incentive mechanism for fund managers and whether it leads to conflicts of interest. The study finds that, firstly, there is decreasing returns to scale in China’s mutual funds, meaning that as the fund size increases, fund performance is eroded. However, the impact of decreasing returns to scale is not significant for small-scale funds (under 1 billion RMB) and large-scale funds (over 20 billion RMB). Therefore, the constraint of decreasing returns to scale on fund managers is limited. Furthermore, despite the presence of decreasing returns to scale and controlling for the proportion of implicit performance incentives, fund managers’ total compensation increases as the fund size grows, but their performance-based incentive income decreases as the fund size grows. Overall, performance incentives do play a role. To optimize their compensation, fund managers are incentivized to control fund size to mitigate the decrease in performance. Further analysis reveals that, for medium and small-sized funds, performance incentive income decreases as the fund size grows, and implicit performance incentives are effective for such funds. However, for large funds (over 20 billion RMB), both performance incentive income and total compensation increase as the fund size grows, rendering implicit performance incentives ineffective. In summary, under the performance-scale implicit incentive scheme, there is a conflict of interest between mutual fund managers and investors. As long as the fund size is sufficiently large, fund managers do not need to worry about the reduction of implicit performance-scale incentive income. Thus, even with decreasing returns to scale and implicit performance incentives, fund managers still have strong incentives to expand the fund size to maximize their own compensation. Finally, the paper also explains why this incentive mechanism, despite its poor effectiveness, is still widely adopted, taking into account cultural differences and market maturity both domestically and internationally.

Second, this paper examines the existence of implicit performance incentives and why they fail to motivate large funds from the perspective of fund investor behavior. The verification from the fund investor’s viewpoint reveals two phenomena: first, Chinese mutual fund investors exhibit a clear short-term performance-chasing behavior, characterized by their focus on the most recent period’s raw returns or relative rankings; second, the performance of Chinese mutual funds typically reverses within a year, with poor performance persistence across two or more periods. These two phenomena together indicate that fund investors are chasing an illusion of performance sustainability, referred to as the “chasing the illusion effect,” which suggests that their short-term performance-chasing behavior is a result of limited rationality. Therefore, this paper introduces the concepts of the recency effect and availability bias (cognitive bias) to explain these characteristics. Given the convex relationship between fund performance and fund flows, the “chasing the illusion effect” implies that performance-scale implicit incentives are ineffective in motivating fund managers, and instead, they become a tool for managers to expand fund size. The paper further analyzes that some fund managers may exploit investors’ limited rationality to attract capital inflows, in order to achieve their self-interested goal of expanding the fund size, thus exacerbating the conflict of interest. Furthermore, this paper rules out the diminishing returns to scale (i.e., the increase or excessive size) as the sole explanation for the poor performance persistence of funds. Based on the above evidence, the limited rationality of fund investors and the catering behavior of mutual funds provide a more reasonable explanation for why mutual funds perform poorly in terms of performance persistence, yet still manage to realize scale expansion.

Third, this paper examines the holding preference, motivations, and consequences of Chinese mutual funds from the perspective of conflict of interest and catering theory, exploring whether the behavior of fund managers is influenced by conflicts of interest and investors’ limited rationality. First, compared to market portfolios and mutual funds employing long-term holding strategies, mutual funds that adopt short-term holding strategies exhibit a more significant holding preference. After considering this heterogeneity, the study finds that mutual funds adopting short-term holding strategies in the first half of the year cannot significantly predict their future performance for the next half-year or average quarterly performance, but are positively correlated with performance for the same period, the next quarter, and the average monthly performance of the future half-year. Therefore, contrary to the view of rational speculation, the actual timing ability of mutual fund managers is limited, and their short-term holding strategy does not lead to significant improvements in short-term performance. Second, this paper finds that Chinese mutual fund investors do not exhibit a clear preference for lottery stocks or extreme returns, but rather show a strong preference for short-term performance or ranking chasing, thus ruling out the idea that mutual funds’ holding preferences are aimed at catering to investors’ preference for lottery stocks. However, the evidence simultaneously shows that the short-term performance (ranking) of mutual funds tends to reverse, usually within the next period (half-year, quarter, or average monthly performance). Therefore, the short-term performance-chasing behavior of mutual fund investors reflects limited rationality. The evidence supports the “conflict of interest & catering” hypothesis. The study finds that mutual funds adopting short-term holding strategies reinforce the convex relationship between fund performance and fund flows. That is, by betting on short-term success and achieving short-term performance improvements or becoming star funds, mutual funds cater to fund investors’ limited rationality regarding short-term performance (ranking) needs, attracting more capital inflows. However, when the bet fails, leading to poor performance and reversal, there is no significant capital outflow. Further analysis reveals that for star funds with short-term holding preferences, performance reversals do not lead to a significant reduction in fund size. Mutual fund managers also tend to promote short-term performance to facilitate the realization of this “conflict of interest & catering” motivation. The above results suggest that the short-term holding preference of mutual funds is essentially a moral hazard behavior driven by conflict of interest. This short-term holding preference, driven by the “conflict of interest & catering” motivation, maximizes the interests of mutual fund managers but severely harms the interests of fund investors, further intensifying the conflict of interest between the two.

Fourth, this paper further examines the motivations and economic consequences of mutual fund families adopting aggressive betting strategies. Driven by conflicts of interest, compared to individual funds, fund families, due to the larger number of funds under their management and decreasing transaction costs, have a higher probability of success in “betting” on lottery stocks. Even if most funds perform poorly, a few successful star funds can bring significant performance and capital inflows to the entire family. Therefore, fund families are likely to adopt this strategy to maximize their own returns. Moreover, the holding preferences of individual funds may also be driven by the fund family. The study shows that for fund families, adopting aggressive lottery stock strategies through their funds not only achieves performance gains but also converts flows into realizable capital. At the fund family level, investors in the Chinese mutual fund market do not exhibit a clear preference for lottery stocks, but rather display significant performance-chasing behavior. Mechanism analysis indicates that fund families with the most aggressive “betting” strategies (top 25%) and better performance have significantly attracted more capital inflows. This suggests that the success of a fund family’s “betting” behavior in increasing inflows depends on the performance they achieve, and this performance-dependent mechanism is also significantly present at the individual fund level. However, fund investors chasing short-term performance are not rational. On the one hand, the performance of individual funds reverses within the next period (second half of the year), and adopting aggressive holding strategies does not lead to significantly better performance. Therefore, the short-term performance that fund investors chase is not sustainable, and their performance-chasing behavior reflects limited rationality. On the other hand, although the “betting” behavior of fund families achieves better performance, fund investors do not hold all funds in the family to construct a portfolio. Therefore, fund investors bear the risk and potential losses. In conclusion, the “betting” behavior of fund families brings a “win-win” outcome for the families themselves but further exacerbates the conflict of interest between fund managers and investors, harming the overall interests of investors.

This paper extends the principal-agent theory and combines it with theories of limited rationality and catering, systematically revealing the root causes of the long-standing conflict of interest in the “funds make money, but fund investors do not” problem from three perspectives: the implicit incentive mechanism of Chinese fund managers, the limited rationality of fund investors, and the catering behavior of fund managers, while also providing pathways for resolving this issue. In summary, the evidence in this paper shows that, even under a fixed-fee model, funds with better performance attract more capital inflows, and the performance-chasing behavior of fund investors constitutes an implicit incentive for fund managers. However, this performance-scale implicit incentive fails for large-scale funds. Furthermore, the limited rationality of fund investors in chasing short-term performance and the catering behavior of rational fund managers provide a more comprehensive and effective explanation for the long-term conflict of interest in the mutual fund industry. The conclusions of this paper offer new theoretical and practical foundations for fundamentally addressing the real barriers to the “funds make money, but fund investors do not” problem. They provide valuable insights for the future design of incentive schemes for mutual funds, investor protection, and the regulation of institutional behaviors.