基金投资风格一致性及其对基金绩效的影响  

Fund's Investment Style Consistency and Its Influence on Fund Performance

作　　者：李学峰[1] 徐华[1] 李荣霞[1] 

机构地区：[1]南开大学金融学系,天津300071

出　　处：《财贸研究》2010年第2期89-97,共9页Finance and Trade Research

基　　金：国家社会科学基金重大项目"深化财税;金融;外贸和投资体制综合改革"(批准号:06&ZD030)的阶段性研究成果

摘　　要：以2004年2月27日之前上市的29只开放式股票型基金为样本,采用RSA风格分析方法,对投资风格进行静态分析和滚动分析,并设计投资风格一致性指标,考察中国开放式股票型基金的实际投资风格,以及投资风格一致性对基金绩效的影响。研究发现:中国证券投资基金实际投资风格与其所宣称的投资风格不匹配;在行情上升阶段,投资风格一致性高的基金绩效优于投资风格一致性低的基金,而在行情下降阶段则不存在显著差异。This paper presents an empirical research on investment style of stock fund based on a sample of 29 stock funds in China before February 27,2004,using the RSA style analysis method for investment style static analysis and rolling analysis.The style consistency index is designed to examine the stock fund actual investment style and the influence of style consistency on fund performance.The research reveals that securities investment fund＇s actual investment style and claimed investment style don＇t match.The fund with high investment style consistency performed better when market is in a rising stage,while there is not significant difference in a decline phase.

关 键 词：证券投资基金 投资风格 投资风格一致性 基金绩效 

分 类 号：F830.91[经济管理—金融学]