我国开放式基金投资风格漂移及其对基金绩效的影响研究

发布时间：2018-05-17 08:14

本文选题：开放式基金 + 风格漂移　；参考：《华东师范大学》2012年硕士论文

【摘要】：随着风格投资大行其道,基金投资风格的概念在投资领域已被广大的基金市场参与者所接受。开放式基金是目前证券基金市场上的主流产品,投资风格的变化对基金的投资绩效具有重要意义。本文将实际风格偏离招募说明书中约定的原始风格的现象界定为投资风格漂移。为了研究风格漂移对开放式基金业绩的影响,本文结合已有文献的基础,利用Sharpe强式模型、SDS量化模型、二次规划、多元回归分析、分组计量等实证研究方法,对国内开放式基金投资风格漂移识别、定量测度及风格漂移与投资绩效的关系进行了实证分析,得出结论如下： 1、风格漂移在国内基金市场上具有普遍性,基金招募说明书中宣称的投资风格并未对绝大多数的基金起到约束的作用；大多数基金的投资风格稳定性较差,基金前期业绩压力对资产配置策略造成重大影响。 2、目前国内开放式基金主要表现为成长型和大盘型风格,价值投资理念极度缺乏,基金投资风格体现为趋同现象。 3、SDS指标能较好地衡量风格整体波动程度。实证表明,SDS指标与风格持续性、期间漂移次数和基金事前风格存在相关关系。 4、本文认为风格漂移未必会导致基金绩效的降低,而是要分不同市场条件考虑。市场条件发生改变时,变换投资风格能提升基金绩效；而市场趋势未改变时,则不宜变换风格。
[Abstract]:With the popularity of style investment, the concept of fund investment style has been accepted by the majority of fund market participants in the field of investment. Open-end funds are the mainstream products in the securities fund market at present. The change of investment style is of great significance to the investment performance of the fund. In this paper, the phenomenon of actual style deviating from the original style stipulated in the prospectus is defined as the drift of investment style. In order to study the influence of style drift on the performance of open-end funds, this paper uses Sharpe strong model, quadratic programming, multiple regression analysis, grouping measurement and other empirical research methods. This paper makes an empirical analysis on the identification, quantitative measurement and the relationship between investment style drift and investment performance of domestic open-end funds. The conclusions are as follows: 1. The style drift is universal in the domestic fund market, the investment style claimed in the fund recruitment prospectus does not play a binding role on most funds, and most funds have poor stability of investment style. Fund pre-performance pressure on asset allocation strategy has a major impact. 2. At present, the open-end funds in China are mainly characterized by growth style and large-capitalization style. The concept of value investment is extremely lacking, and the investment style of the fund is reflected in the phenomenon of convergence. The SDS index can measure the fluctuation degree of style as a whole. The empirical results show that the SDS index is correlated with the style persistence, the times of drift during the period and the prior style of the fund. 4. This paper argues that the drift of style does not necessarily lead to the decline of fund performance, but should be considered in different market conditions. When the market conditions change, changing the investment style can improve the performance of the fund, but when the market trend has not changed, it is not appropriate to change the style.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】