基金投资风格的极端性与业绩研究

本文首次从综合性视角考察基金投资风格的极端性与其业绩之间的关系。采用投资风格极端性指数和行业集中度作为投资风格的测度,研究发现投资风格的极端性与基金业绩成反比,即投资风格越极端,基金的收益越差。因此,我们建议基金经理在做出投资策略时,应当遵循稳健的投资风格与分散化投资,当发现自己的投资组合风险较大或有明显的行业偏重时,及时做出调整。对于风格极端的基金投资组合,应保持谨慎的态度。

A Study of the Investment Style Extremity and Fund Performance

In this paper,we examine the relationship between the extremity of fund investment style and the performance of funds from a comprehensive perspective for the first time.We use the investment style extremity index and the industry concentration index together as the measure of investment style.We find that there exists negative correlation between the extremity of investment style and performance of fund.According to this,we suggest that fund managers should follow a steady investment style when they make investment decisions and decentralize the investment.If the risk level or industry concentration of the investment portfolio is abnormally high,the manager of this fund should make timely adjustment.Managers should maintain a cautious attitude towards the portfolios with strong personal style.