| 风格漂移与基金绩效 |
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| 引用本文： | 宋威.风格漂移与基金绩效[J].商业研究,2009(6). |
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| 作者姓名： | 宋威 |
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| 作者单位： | 南华工商学院,金融系,广州,510507 |
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| 基金项目： | 国家自然科学基金，广东省自然科学基金 |
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| 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。
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| 关 键 词： | 开放式基金 风格漂移 基金绩效 |
Style Drift and Fund Performance |
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| SONG Wei.Style Drift and Fund Performance[J].Commercial Research,2009(6). |
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| Authors: | SONG Wei |
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| Institution: | SONG Wei (Department of Finance,Nanhua College of Industry , Commerce,Guangzhou 510507,China) |
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| Abstract: | 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 per... |
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| Keywords: | open-ended funds style drift fund performance |
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