我国基金风格投资的积极风险补偿研究

A Study of Active Risk Compensation for Investment in Styles of Funds in China

面对风格迥异的证券投资基金,投资者如何权衡风险与收益从而作出正确的投资决策,是投资理论研究的一个重要问题。以2002至2008年沪深主动管理型股票基金为样本,分别采用Sharpe与Fama-French三因素等模型对基金风格、积极风险和投资绩效进行归类和估计,结果表明:(1)风格越是偏向小盘、成长,基金的积极风险越大,但此类风格的股票基金对积极风险的补偿比率却相对较低,而偏向大、中盘价值或成长风格的股票基金却能够获得相对较高的积极风险补偿;(2)与无风格的股票基金相比,严格执行风格投资的股票基金可获得更高的积极风险补偿,这说明风格投资能够为投资者创造额外收益。

An important issue in the theoretical exploration of investment concerns the question of how investors weigh risks against earnings to reach correct decisions of investment in the face of different styles of funds investing in stock markets. This study takes the actively managed funds in China from 2002 to 2008 as our sample, and classifies and estimates the investment styles, active risks and investment performances using Sharpe Model and Fama-Freneh 3-Factor Model. Our findings indicate that （ 1 ） if the style of funds favors small capitalization and growth stocks, managers of the funds concerned will face greater active risks, but such funds tend to have lower rates of compensation for active risks whereas funds that favor large or medium capitalization or growth stocks tend to earn higher compensations for active risks; and （2） currently in China＇s stock markets funds that go strictly by style investment can earn more compensations for active risks. It is concluded that style investment can bring extra earnings to investors.