不同态势下基金风格和绩效  

Fund's Style And Performance Evaluation under Different Market States

作　　者：曹雪平[1] 

机构地区：[1]湖南财政经济学院,湖南长沙410205

出　　处：《系统工程》2011年第5期31-37,共7页Systems Engineering

摘　　要：从投资风格的角度对我国证券投资基金的绩效表现进行实证研究。为全面反映基金的投资特征,以中信风格指数、可转债和现金为风格基准,运用基于收益数据的风格分析法,分别对牛市和熊市下的基金风格和经风格调整的基金绩效进行了实证分析。为使研究结果更具有可信度,用K-S-W方法对研究结果进行了参数检验。实证研究表明,市场态势是影响基金风格的重要因素,投资风格或资产配置可有效解释基金的绩效表现,基金经理选股能力在牛市和熊市中迥然不同的表现说明市场的有效性在增强。The paper conducts an empirical analysis of China＇s fund performance from the aspect of fund style.In order to reflect the whole pattern of fund style,the study applies return-based style analysis against a characteristic benchmark to show the actual fund investment style and the fund＇s style-adjusted performance both in bull market and in bear market.We also use K-S-W hypothesis test in this paper to ensure the reliability of the results.The results indicate that market state is one of the important factors which influent funds style.Asset allocation or funds style accounts for a large part of funds performance.Funds style has changed much from bull market to bear market.Fund managers＇ different abilities to select stocks in different market states indicate that Chinese stock markets have become more efficient.

关 键 词：基金 市场态势 投资风格 风格调整绩效 

分 类 号：F830[经济管理—金融学]