中国开放式基金风格漂移与业绩相关性的实证研究

On Correlation between Performance and Style Drift of China’s Open-end Funds

本文以中国开放式股票型和债券型基金为样本,通过对基金风格漂移程度的量化,检验了基金风格漂移、资金流波动、基金规模及基金费率与基金业绩之间的关系,结果表明,风格漂移的程度与基金的业绩呈正相关,但与资金流波动不相关;同时,基金规模与基金的业绩呈正相关,与费率呈负相关。

In this paper, based on the Chinese equity and bond Open-end funds for samples, and having had quantization of the degree of fund style drift, we tested the relationship among style drift of funds, funds flow volatility, fimds size, fund rates and fund performance, the results showed that the degree of style drif~ had a positive relationship with performance, but did not relate to fund flow volatility; at the same time, fund size and the performance had a positive relationship, while negatively correlated with the rate of managerment.