本文選題：開(kāi)放式基金 + 風(fēng)格漂移�。� 參考：《華東師范大學(xué)》2012年碩士論文

【摘要】：隨著風(fēng)格投資大行其道,基金投資風(fēng)格的概念在投資領(lǐng)域已被廣大的基金市場(chǎng)參與者所接受。開(kāi)放式基金是目前證券基金市場(chǎng)上的主流產(chǎn)品,投資風(fēng)格的變化對(duì)基金的投資績(jī)效具有重要意義。本文將實(shí)際風(fēng)格偏離招募說(shuō)明書(shū)中約定的原始風(fēng)格的現(xiàn)象界定為投資風(fēng)格漂移。為了研究風(fēng)格漂移對(duì)開(kāi)放式基金業(yè)績(jī)的影響,本文結(jié)合已有文獻(xiàn)的基礎(chǔ),利用Sharpe強(qiáng)式模型、SDS量化模型、二次規(guī)劃、多元回歸分析、分組計(jì)量等實(shí)證研究方法,對(duì)國(guó)內(nèi)開(kāi)放式基金投資風(fēng)格漂移識(shí)別、定量測(cè)度及風(fēng)格漂移與投資績(jī)效的關(guān)系進(jìn)行了實(shí)證分析,得出結(jié)論如下： 1、風(fēng)格漂移在國(guó)內(nèi)基金市場(chǎng)上具有普遍性,基金招募說(shuō)明書(shū)中宣稱的投資風(fēng)格并未對(duì)絕大多數(shù)的基金起到約束的作用；大多數(shù)基金的投資風(fēng)格穩(wěn)定性較差,基金前期業(yè)績(jī)壓力對(duì)資產(chǎn)配置策略造成重大影響。 2、目前國(guó)內(nèi)開(kāi)放式基金主要表現(xiàn)為成長(zhǎng)型和大盤(pán)型風(fēng)格,價(jià)值投資理念極度缺乏,基金投資風(fēng)格體現(xiàn)為趨同現(xiàn)象。 3、SDS指標(biāo)能較好地衡量風(fēng)格整體波動(dòng)程度。實(shí)證表明,SDS指標(biāo)與風(fēng)格持續(xù)性、期間漂移次數(shù)和基金事前風(fēng)格存在相關(guān)關(guān)系。 4、本文認(rèn)為風(fēng)格漂移未必會(huì)導(dǎo)致基金績(jī)效的降低,而是要分不同市場(chǎng)條件考慮。市場(chǎng)條件發(fā)生改變時(shí),變換投資風(fēng)格能提升基金績(jī)效；而市場(chǎng)趨勢(shì)未改變時(shí),則不宜變換風(fēng)格。
[Abstract]:With the popularity of style investment, the concept of fund investment style has been accepted by the majority of fund market participants in the field of investment. Open-end funds are the mainstream products in the securities fund market at present. The change of investment style is of great significance to the investment performance of the fund. In this paper, the phenomenon of actual style deviating from the original style stipulated in the prospectus is defined as the drift of investment style. In order to study the influence of style drift on the performance of open-end funds, this paper uses Sharpe strong model, quadratic programming, multiple regression analysis, grouping measurement and other empirical research methods. This paper makes an empirical analysis on the identification, quantitative measurement and the relationship between investment style drift and investment performance of domestic open-end funds. The conclusions are as follows: 1. The style drift is universal in the domestic fund market, the investment style claimed in the fund recruitment prospectus does not play a binding role on most funds, and most funds have poor stability of investment style. Fund pre-performance pressure on asset allocation strategy has a major impact. 2. At present, the open-end funds in China are mainly characterized by growth style and large-capitalization style. The concept of value investment is extremely lacking, and the investment style of the fund is reflected in the phenomenon of convergence. The SDS index can measure the fluctuation degree of style as a whole. The empirical results show that the SDS index is correlated with the style persistence, the times of drift during the period and the prior style of the fund. 4. This paper argues that the drift of style does not necessarily lead to the decline of fund performance, but should be considered in different market conditions. When the market conditions change, changing the investment style can improve the performance of the fund, but when the market trend has not changed, it is not appropriate to change the style.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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