中国证券投资基金风格分类研究

Style Classification Analysis of Chinese Mutual Funds

差异化战略以及特定资产类别的超额收益促使投资基金在募集时就约定投资风格,但投资基金有可能在实际的运作过程中违背事先约定的投资风格.据此,在投资风格分类中引入了聚类分析方法,并同时采用晨星风格箱方法和聚类分析方法对中国证券投资基金的风格进行了分析.结果表明,大多数基金违背了募集说明书中约定的风格.

Focus strategy and excessive return of specified stocks promote the style formation of mutual funds, but managers often disobey the styles specified in their prospects. The paper used Morningstar-style-box and clustering method in the style analysis of Chinese mutual funds. The conclusion shows that most managers disobeyed the styles in prospects.