开放式股票型基金的投资风格漂移情况分析  

Analysis on the Investment Style Drift of Open-ended Stock Funds

作　　者：刘敏[1] 曹衷阳[2] 

机构地区：[1]中央财经大学统计学院,北京100081 [2]中央财经大学商学院,北京100081

出　　处：《云南财经大学学报》2012年第2期136-146,共11页Journal of Yunnan University of Finance and Economics

摘　　要：根据David的投资风格分类思想,利用三因素模型对中国2004年7月～2011年3月的238只开放式股票型基金进行投资风格漂移测量。结果表明,小市值和大市值成长型基金均表现出相对较好的风格一致性,名义投资风格和实际投资风格不同的比率分别为33.33%和35.00%,但中市值成长型基金表现出较高的漂移性,风格差异比率为77.78%;价值型基金风格差异平均比率为65.21%;平衡型基金风格差异平均比率为85.70%。According to David′s thinking of investment style classification,and by using three-factor model,the investment style drift of 238 open-ended stock funds from July 2004 to March 2011 in China is measured.The results indicate that small and large cap growth fund show relatively good style consistency,and the percentage of nominal and actual investment styles are 33.33% and 35.00% respectively;middle cap growth fund has high drift characteristics,and the style difference percentage is 77.78%;the average style difference percentage of value funds is 65.21%,and the average style difference percentage of balanced funds is 85.70%.

关 键 词：投资风格漂移 开放式股票基金 投资风格分析 

分 类 号：F830.91[经济管理—金融学]