风格漂移与基金绩效  

Style Drift and Fund Performance

作　　者：宋威[1] 

机构地区：[1]南华工商学院金融系,广州510507

出　　处：《商业研究》2009年第6期153-156,共4页Commercial Research

基　　金：国家自然科学基金;项目编号:70572065;广东省自然科学基金;项目编号:5006057

摘　　要：基于收益率的风格分析模型,对国内36支开放式基金进行动态分析,将基金的实际投资风格和宣称的投资风格进行比较。研究发现绝大多数的基金在此研究期间发生了"风格漂移"现象,牛市行情中发生"风格漂移"的基金绩效要优于固守宣称风格的基金绩效,熊市行情中发生"风格漂移"的基金绩效要低于未发生"风格漂移"的基金绩效。Based on the model of return - based style analysis forwarded by Sharpe （ 1992 ）, the paper has a dynamic analysis on thirty - six open - ended funds in China within the sampled periods of both bull market and bear market during 2004 and 2007. The comparison of the actual investment style with the announced investment style indicates the ＂style drift＂ phenomena of funds in the sampled periods. As to the impact of the ＂style drift＂ on fund performance, the paper finds that in the bull market style - drift funds have better performance than those without, and in the bear market the former case gets worse than the latter case.

关 键 词：开放式基金 风格漂移 基金绩效 

分 类 号：F830.91[经济管理—金融学]