中国开放式基金投资风格分析

Analysis of Chinese Open-end Fund Investment Styles

提出了一种Gap statistic聚类分析与Sharpe模型相结合的投资风格分类方法,以及仅利用基金与风格资产收益率来衡量投资策略的近似方法。实证结果表明,债券型基金投资风格与其声称完全一致,且不存在漂移现象,股票、混合型基金的投资风格以大盘成长型为主并日趋明显,与其声称背离较大,漂移现象严重。基金大多采用动量投资策略,股票-中盘成长型的动量效应最明显,债券型基金反之。研究方法论为基金投资风格分类及投资策略衡量提供了新思路。

In this paper we propose an investment style classification method based on Gap statistic cluster analysis and Sharpe model, and utilize funds' and style equities' returns to construct the approximate method of measuring investment strategy. The empirical results show that only bond funds keep to their announced styles, while other types of funds are characterized mainly by large-capitalization growth and are becoming more so. Most funds adopt momentum strategy, and medium-capitalization growth funds' momentum effects are most significant, while bond funds are in the opposite case. This paper provides a new perspective of investment style classification and investment strategy measurement.