业绩排名对基金风格漂移的影响研究

The Effect of Performance Ranking on Fund Style Drift

本文以2006—2019年主动管理型开放式股票基金为样本,实证检验了业绩排名对基金风格漂移的影响,结果发现:期中业绩排名将引起输家基金显著提高风格漂移,赢家基金则趋于降低风格漂移。熊市业绩排名会使风格漂移显著变化,牛市中变化不显著。对于不同方向的风格漂移,小基金偏好价值漂移,大基金专注规模漂移,新基金两个方向的风格漂移均大于老基金,更换基金经理将使价值漂移显著变化,明星基金规模漂移大于垫底基金。输赢家基金对风格漂移的调整均可有效提升业绩排名,但期末资金流向主要取决于价值漂移的改变。本文研究对深入理解我国基金业绩排名提供了新的视角,有助于投资者进行理性的风格投资。

This paper empirically tests the effect of performance ranking on mutual fund style drift using a sample of active managed open-ended stock funds from 2006 to 2019.The results show that performance ranking will cause the losers to significantly increase the style drift while the winners tend to reduce the style drift.Bear market performance ranking will make the style drift significantly change,bull market change is not significant.For the style drift in different directions,small funds prefer value drift,large funds focus on size drift.The style drift in both directions of new funds is greater than that of old funds.Fund manager turnover will make the value drift significantly change.The size drift of star funds is greater than that of bottom funds.For losers and winners,the adjustment on style drift can effectively improve performance ranking,but the final capital flow mainly depends on the change of value drift.This paper provides a new perspective for understanding performance ranking of Chinese mutual fund industry and helps investors to make rational style investment.