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我国开放式基金在招募说明书中都注明了投资风格,但不少实证研究证明在实际操作中,大部分基金的投资风格都发生了漂移。漂移现象的好坏要结合投资者的需求、漂移带来的结果等因素来综合考虑。本文把研究期间划分为四个子期间,按不同的基金类型和投资风格,利用Sharpe多因素模型,对我国开放式基金投资风格漂移现象进行了动态验证,同时引进SDS方法测量了风格漂移的程度,文章进一步对基金投资风格漂移与基金经理选股能力的关系进行了研究。
China’s open-end funds in the prospectus are marked with the investment style, but many empirical studies have shown that in practice, most of the fund’s investment style have drifted. Drift phenomenon is good or bad should be combined with the needs of investors, the results of drift and other factors to consider. This article divides the research period into four sub-periods, and uses the Sharpe multi-factor model to test the dynamic of investment style drift of China’s open-end funds according to the different fund types and investment styles. At the same time, the paper introduces the SDS method to measure the degree of style drift, The article further studies the relationship between fund investment style drift and fund manager’s stock selection ability.