基于风格调整的开放式基金业绩评价实证研究  

Empirical Research on Open-ended Equity Fund Performance Based on Style Adjustments

作　　者：张宗益[1] 项慧玲[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《技术经济》2010年第5期78-82,共5页Journal of Technology Economics

摘　　要：基金的投资风格对于基金业绩有重大影响,将不同投资风格的基金业绩直接进行对比,不能科学地体现基金表现的优劣。本文以2005年4月1日到2009年11月30日期间经历了一个完整的上涨和下跌行情的我国51只开放式股票型基金为样本,运用Fama-French三因素模型对基金的投资风格进行检验,并在剔除风格因素后对基金业绩进行评价,结果发现我国开放式股票型基金投资风格严重趋同,表现为大盘成长型。经过风格调整之后,基金取得了一定的超额收益。The investment style of fund has a significant impact on fund performances. Thus, comparing the performance of different funds＇ investment styles directly can not reflect the scientific pros and cons. This paper selects a sample interval that experiences a full rise and decline quotes from April 1, 2005 to November 30, 2009, tests the investment styles of 51 open-end equity funds of China with Fama-French three-factor model, and finds that open-end equity funds of China have a serious style convergence with the performance of large-growth types by evaluating the fund performance excluding the fund style factor. At last, the funds achieve a certain degree of excess returns after style adjustment.

关 键 词：开放式基金 投资风格 基金业绩 

分 类 号：F224[经济管理—国民经济] F832.5