我国开放式股票型基金风格漂移现象与成因分析

发布时间：2018-08-05 16:05

【摘要】：随着改革开放的持续进行和市场化程度的不断加深,近30年来中国经济经历了一个快速增长的黄金期,受益于经济的飞速发展,中国的资本市场也迎来了属于自己的春天,参与到资本市场的国内投资者数量也日益庞大。而在资本市场众多的投资产品中,基金产品由于其代投资者理财的专业性与较为可观的收益性,受到了广大投资者的热切追捧。从1998年中国发起设立第一批公募基金,当时规模仅有40亿元,至2011年底已成长为逾3.45万亿元的市场,年均增速达到惊人的68%,截止到2012年3月30日国内共批准成立了70家基金管理公司,运作的基金达到1189只。从这些总量数据上来看,我国的基金行业确实已经成为了资本市场中发展最快的行业之一。但是在整个资本市场取得长足进步和快速发展的同时,也暴露出许多这样或那样的问题,因为我国的资本市场总体上仍然处于新兴转轨阶段,旧体制下残存的某些制度与行业惯例可能与转型后的市场产生一些矛盾。例如在基金行业中,存在基金经理人代为投资产生的道德风险和逆向选择现象,而本文所要研究的基金风格漂移现象就是这些问题的具体表现之一。从基金投资者购买基金产品的那一刻起投资者与基金公司之间实质上已经构成了契约关系。本着诚信的契约风格,投资者遵照契约进行基金的购买与赎回,同样基金管理者也应该按照基金契约来履行自身的义务,严格遵照契约的相关条款对基金进行合法依规的运作。然而由于监管部门相关监管的缺失和基金信息披露机制的不完善,加之投资者对自身有关权益的忽视,导致了诸多基金管理者违背基金契约的问题,基金风格漂移便是问题之一。基金风格漂移是指根据基金所持有资产的特征所判定的基金风格与基金招募说明书中所阐述的投资风格之间不吻合的现象。从基金行业的诞生、兴起到如今成熟的行业运作,对基金投资风格的探讨与分析从未停止,它代表着一支基金运作的原则和关键策略。关于基金投资风格的理论,从最早的有效市场理论、现代投资理论,到后来的资本资产定价模型,再到当前兴起的行为金融学相关理论,这些理论的出现都不断丰富着基金投资风格方面的研究。本文在国内外早期对基金风格研究成果综述的基础上,采用Gruber因素模型对基金(本文均选取开放式股票型基金作为研究样本)正式运作后的风格进行判定,之后与名义风格(基金募集时宣称的投资风格)进行横向比较,发现国内的股票型基金大部分确实存在风格漂移的现象。其中,将样本期间切割成三个不同时期,纵向研究不同市场行情下基金风格漂移存在的一些规律。通过实证研究我们另外发现,基金投资风格发生漂移的同时还呈现出一定的趋同性,并且同一基金公司旗下基金的趋同性更为明显。在某些时候基金风格漂移带来了基金收益的增加或损失的减少(相对于漂移前而言),甚至可以理解为是基金经理人面对瞬息万变市场行情下的积极调整行为。如此一来我们将基金风格漂移定性为单纯的契约和操作违约行为似乎显得有些过于偏激；可毫无疑问的是基金风格漂移现象的显然在一定程度上放大了投资的风险,违背了基金合约的投资原则和原始的契约精神。基金投资风格漂移的发生有着多方面的原因,其中包括我国国内市场行情的特殊性、基金经理的整体素质以及监管缺失等,所以作为投资者和监管部门更不应该忽视对基金投资风格的关注
[Abstract]:With the continuous deepening of reform and opening up and the deepening of the degree of marketization, China's economy has experienced a golden period of rapid growth in the past 30 years, benefiting from the rapid economic development, China's capital market also ushered in its own spring, and the number of domestic investors involved in the capital market is also increasingly large. In many of the investment products, the fund products have been highly sought after by the investors. The first batch of public funds was set up from China in 1998, with a scale of only 4 billion yuan, which had grown to more than 3 trillion and 450 billion yuan by the end of 2011, and the average annual growth rate reached an astonishing 68%. By the end of March 30, 2012, a total of 70 fund management companies were approved and 1189 funds operated. From these total data, China's fund industry has indeed become one of the fastest growing industries in the capital market.
However, while the whole capital market has made great progress and rapid development, it also exposes many such problems, because the capital market in our country is still in the emerging phase of transition. Some of the existing systems and industry practices under the old system may have some contradictions with the market after the transition. For example, in the fund industry, There is a phenomenon of moral hazard and adverse selection from fund managers to investment, and the phenomenon of fund style drift in this paper is one of the specific manifestations of these problems. From the moment when the fund investors bought fund products, investors and fund companies had formed a contractual relationship in essence. Contract style, investors comply with the contract for the purchase and redemption of the fund, the same fund managers should perform their own obligations according to the fund contract, strictly comply with the relevant provisions of the contract to the operation of the legal compliance of the fund. However, due to the lack of regulatory supervision and imperfect information disclosure mechanism of the fund, and The neglect of the investor's own rights and interests leads to the problem that a lot of fund managers violate the fund contract. The drift of the fund style is one of the problems. The style drift of the fund refers to the disagreement between the fund style and the investment style described in the fund recruitment instructions according to the characteristics of the assets held by the fund.
From the birth of the fund industry to the mature industry, the discussion and analysis of the fund's investment style never stopped. It represents the principle and key strategy of a fund operation. The theory of fund investment style, from the earliest effective market theory, the modern investment theory to the later capital asset pricing model, then to the end. The emergence of behavioral finance related theories, the emergence of these theories constantly enriches the research of fund investment style. On the basis of the early review of the research results of fund style at home and abroad, this paper adopts the Gruber factor model for the formal operation style of the Fund (this article selects the open stock fund as the research sample). After comparing with the nominal style (the investment style declared by the fund raising), it is found that most of the domestic stock funds do have the phenomenon of style drift. Among them, the sample period is cut into three different periods, and some laws of the fund style drift under different market conditions are studied. We also found that the drift of the fund's investment style also showed a certain convergence, and the convergence of the funds under the same fund company was more obvious.
In some cases, fund style drift brings the increase of fund income or loss (as opposed to drift), or even the positive adjustment of fund managers in the face of a fast changing market. Thus, it seems that the style drift of the fund seems to be a simple contract and a breach of contract. Some are excessively extreme; but there is no doubt that the phenomenon of fund style drift obviously amplifies the risk of investment to a certain extent, violates the investment principles of the fund contract and the original spirit of contract. There are many reasons for the occurrence of fund investment style drift, including the particularity of the domestic market market in China, the fund manager The overall quality and lack of supervision, so as investors and regulatory departments should not ignore the concern about the investment style of funds
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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