风格漂移对不同类型基金绩效影响的比较研究
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摘要
本文采用定性、定量分析相结合的方法,分别从静态和动态两个角度,以2006年5月31日前上市的49只开放式基金及27只封闭式基金为样本,以Sharpe多因子模型及Gruber模型、M 2测度为具体实证模型,对样本基金风格的漂移情况及基金业绩进行实证检验,结果表明:(1)对于不同种类基金,在整体研究区间下,均发生风格漂移现象且漂移方向具有趋同性;而动态研究表明,不同种类样本基金在牛熊市下也均发生风格漂移,不同类基金风格漂移程度不同,但漂移方向一致。只有少数基金在动态研究下采取固守投资风格不变的策略。(2)静态研究表明,不同种类基金漂移对基金业绩的影响不同,牛熊市下同种类基金风格漂移对基金绩效的影响也各不相同。但总体来说,发生漂移的基金业绩均高于基准市场无风险收益率,基金风格漂移趋同性并非基金经理人的非理性操作,而是对基金价值/成长以及市值类别的主动性选择。
With our modern financial innovation and the rapid development of the fund industry, and with the collective,flexible and risk diversification characteristics, fund area had been chosen by more and more investors of all ages. Fund industry has been one of the four pillars of banking, securities and insurance industry, and has become a modern financial system, Rapid increase in the range of funds, making the Fund investment style of an important and urgent issue. However, the current academic research on securities investment funds remain in the perspective of most of the direct evaluation of fund performance, investment style of the fund very few combine the two studies is even more pitiful, style adjusted performance research is still quite immature. Despite the growing number of fund companies declare that their fund's investment style - the name of style in the recruitment of the book to help investors make choose, fund style pre-and post the resulting inconsistency, that style "drift" phenomenon. Therefore, the Fund's actual investment style of the identification becomes more and more important, the style-adjusted fund performance research become a necessity.
As this innovation, on the one hand, in the empirical method point of view, this article uses Dynamic and Static methods of combining comprehensive evidence. The Static method means investment style of research conducted only once during the whole period to the study, and the Dynamic method means the entire study period be divided into more than one study period to carry out estimation. To this article, the article firstly conducted the investment style from the entire period as the Static method and then divided the whole period into two scripts and six rolling period as the Dynamic period. Compared this two parts to determine the Fund's actual investment style. In addition, in the research point of view, this article chose open-end funds and closed-end funds to take into account, and compared the style of drifting style of the two different types of funds; What’s more, with the basis of the drifting style, the study occurred in the difference of the fund that having changed its styles and that of being never changed ,with the result ,we can find that whether style drift is rational. In other words, with horizontal and vertical angles of the comprehensive analysis, the conclusion will take more accurate and comprehensive performance of the fund style drift and the issues affecting the inspection.
With the research and innovation based on the above background, the concrete evidence of this article can be divided into two parts:
Firstly, after introducing the style of fund style classification and identification of relevant theoretical model, the article divided fund style by the value / growth and scale factor. Then we chose the Sharpe Model, which based on the multi-factor regression model, to verify the actual style of the open and closed-end funds. Among them, the sample selected for the May 31, 2006 listing of 49 open-end funds and 27 closed-end funds, and for criteria for the classification of Static dynamic, this article chose June 1, 2006 to June 30, 2009 as the whole period of study, and as the Dynamic empirical, we divided the entire period into Bull and Bear periods and six rolling periods as two different angles. Through different periods for different categories of funds investment style under the actual test, compared with the funds obtained the name of style drift of their situation , we have the following conclusions:
(1) Static Analysis on the samples funds for open-and closed-end funds, we concluded that two funds have occurred in the whole range of style drift and the actual investment style of each sample were a convergence. Coefficient of determination similar but mean different volatility and drift of both the extent of the investment ratio is not the same.
(2)In the Bull and Bear periods, two kinds of style drift both occurred, and style drift of different types of fund in the same direction, with the apparent convergence. But the open-end fund, whether in what circumstances, the drift level higher than the closed-end funds. And two in the investment ratio and the coefficient of determination is not in the same.
(3) Samples of the Fund through the static and dynamic results of the horizontal comparison, we find that the whole time interval does not occur even if the drift of the Fund in the dynamic study period (in Bull and Bear periods) will also occur under the drift style. Only few funds keep the same strategy in different periods.
Secondly, based on the conclusion above, the article chose the Gruber Model and M 2Model to verify the achievements of different kinds of styles Funds in the entire study period (static) and the bull and bear markets (dynamic), and the following conclusions are:
(1) In the entire study period, the open-end fund style drift occurs in the mutual fund performance is better than stick-style fund performance, and closed-end funds in the stick style better fund performance, that is, different types of fund of fund performance drift were different. Two styles of fund performance is higher than the market benchmark risk-free rate of return, the Fund effective style of convergence.
(2) Fund in the Bull and Bear of the sample during the empirical test shows that different types of style drift in different environments affect the performance of the Fund are different. In general, open-end fund style drift gains than closed-end funds, the specific performance of the open-end fund style drift during the bull market fund performance is better during the bear market style drift is invalid, the same time, closed-end funds are style drift not more than stick-style fund performance.
(3) In the dynamic study period (Bull and Bear), two styles are made exceed the Fund benchmark rate of return earned more than yield, and the style of convergence and not the same fund in a bear market efficiency performance is superior fund performance during the bull market . Furthermore, the fund is not like the style of convergence of the conclusions of other scholars have said the fund manager or fund non-rational to follow suit immature market. On the contrary, the actual style of convergence is the fund manager of the fund value / growth and market initiative in select categories.
Finally, we have the comprehensive suggestion: to the fund manager concerned, when they make investment decision, they should consider the characteristics of different types of funds, combined with market conditions, and then choose the most suitable market fund investment styles; and to the regulatory agencies, as style drift to the general is to adapt the behavior of the market and therefore, they should not blindly be defined as the performance of fund managers under pressure to selfish behavior, on the contrary, they should be combined with a variety of fund's performance classification regulation, through the development of relevant legal system to regulate the overall market environment, use the market to guide our own reaction to be more standard and mature.
With our modern financial innovation and the rapid development of the fund industry, and with the collective,flexible and risk diversification characteristics, fund area had been chosen by more and more investors of all ages. Fund industry has been one of the four pillars of banking, securities and insurance industry, and has become a modern financial system, Rapid increase in the range of funds, making the Fund investment style of an important and urgent issue. However, the current academic research on securities investment funds remain in the perspective of most of the direct evaluation of fund performance, investment style of the fund very few combine the two studies is even more pitiful, style adjusted performance research is still quite immature. Despite the growing number of fund companies declare that their fund's investment style - the name of style in the recruitment of the book to help investors make choose, fund style pre-and post the resulting inconsistency, that style "drift" phenomenon. Therefore, the Fund's actual investment style of the identification becomes more and more important, the style-adjusted fund performance research become a necessity.
As this innovation, on the one hand, in the empirical method point of view, this article uses Dynamic and Static methods of combining comprehensive evidence. The Static method means investment style of research conducted only once during the whole period to the study, and the Dynamic method means the entire study period be divided into more than one study period to carry out estimation. To this article, the article firstly conducted the investment style from the entire period as the Static method and then divided the whole period into two scripts and six rolling period as the Dynamic period. Compared this two parts to determine the Fund's actual investment style. In addition, in the research point of view, this article chose open-end funds and closed-end funds to take into account, and compared the style of drifting style of the two different types of funds; What’s more, with the basis of the drifting style, the study occurred in the difference of the fund that having changed its styles and that of being never changed ,with the result ,we can find that whether style drift is rational. In other words, with horizontal and vertical angles of the comprehensive analysis, the conclusion will take more accurate and comprehensive performance of the fund style drift and the issues affecting the inspection.
With the research and innovation based on the above background, the concrete evidence of this article can be divided into two parts:
Firstly, after introducing the style of fund style classification and identification of relevant theoretical model, the article divided fund style by the value / growth and scale factor. Then we chose the Sharpe Model, which based on the multi-factor regression model, to verify the actual style of the open and closed-end funds. Among them, the sample selected for the May 31, 2006 listing of 49 open-end funds and 27 closed-end funds, and for criteria for the classification of Static dynamic, this article chose June 1, 2006 to June 30, 2009 as the whole period of study, and as the Dynamic empirical, we divided the entire period into Bull and Bear periods and six rolling periods as two different angles. Through different periods for different categories of funds investment style under the actual test, compared with the funds obtained the name of style drift of their situation , we have the following conclusions:
(1) Static Analysis on the samples funds for open-and closed-end funds, we concluded that two funds have occurred in the whole range of style drift and the actual investment style of each sample were a convergence. Coefficient of determination similar but mean different volatility and drift of both the extent of the investment ratio is not the same.
(2)In the Bull and Bear periods, two kinds of style drift both occurred, and style drift of different types of fund in the same direction, with the apparent convergence. But the open-end fund, whether in what circumstances, the drift level higher than the closed-end funds. And two in the investment ratio and the coefficient of determination is not in the same.
(3) Samples of the Fund through the static and dynamic results of the horizontal comparison, we find that the whole time interval does not occur even if the drift of the Fund in the dynamic study period (in Bull and Bear periods) will also occur under the drift style. Only few funds keep the same strategy in different periods.
Secondly, based on the conclusion above, the article chose the Gruber Model and M 2Model to verify the achievements of different kinds of styles Funds in the entire study period (static) and the bull and bear markets (dynamic), and the following conclusions are:
(1) In the entire study period, the open-end fund style drift occurs in the mutual fund performance is better than stick-style fund performance, and closed-end funds in the stick style better fund performance, that is, different types of fund of fund performance drift were different. Two styles of fund performance is higher than the market benchmark risk-free rate of return, the Fund effective style of convergence.
(2) Fund in the Bull and Bear of the sample during the empirical test shows that different types of style drift in different environments affect the performance of the Fund are different. In general, open-end fund style drift gains than closed-end funds, the specific performance of the open-end fund style drift during the bull market fund performance is better during the bear market style drift is invalid, the same time, closed-end funds are style drift not more than stick-style fund performance.
(3) In the dynamic study period (Bull and Bear), two styles are made exceed the Fund benchmark rate of return earned more than yield, and the style of convergence and not the same fund in a bear market efficiency performance is superior fund performance during the bull market . Furthermore, the fund is not like the style of convergence of the conclusions of other scholars have said the fund manager or fund non-rational to follow suit immature market. On the contrary, the actual style of convergence is the fund manager of the fund value / growth and market initiative in select categories.
Finally, we have the comprehensive suggestion: to the fund manager concerned, when they make investment decision, they should consider the characteristics of different types of funds, combined with market conditions, and then choose the most suitable market fund investment styles; and to the regulatory agencies, as style drift to the general is to adapt the behavior of the market and therefore, they should not blindly be defined as the performance of fund managers under pressure to selfish behavior, on the contrary, they should be combined with a variety of fund's performance classification regulation, through the development of relevant legal system to regulate the overall market environment, use the market to guide our own reaction to be more standard and mature.
引文
[1].陈绍胜.前景理论与中国开放式基金的实证检验[J].深圳,证券市场导报,2006(1).
[2].戴志敏.我国开放式基金的风格趋同性研究[J].浙江大学学报,2003(4).
[3].方军雄.我国证券投资基金投资策略及绩效的实证研究[J].经济科学,2002(4).
[4].付金花,赵中平,汪子文.投资风格一致性对基金业绩的影响研究[J].金融经济,2006(8):23-26.
[5].何龙灿.证券投资基金风格分类[J].证券时报,2003(5).
[6].杰克·弗朗西斯.投资学--全球视角[M].中国人民大学出版社,450-561.
[7].李学峰,徐华.基金投资风格漂移及其对基金绩效的影响研究[J].证券市场导报,2007(8).
[8].吕兆德.投资基金风格分析体系之构建研究[J].现代财经,2007(205).
[9].罗真,张宗成.基金该如何分类:一个新的研究视角[J].财经科学,2004(3).
[10].欧阳敬东.浅谈我国开放式基金的投资风格[J].税务研究,2007(266).
[11].冉华.国外基金的分类研究——兼对国内基金分类的思考[J].证券市场导报,2002,(3):4-8.
[12].宋威.风格漂移与基金绩效[J].商业研究,2009(386).
[13].王敬,刘阳,杨典.国内外关于基金投资风格的研究及启示[J].证券经纬,2006(8).
[14].王敬,刘阳.证券投资基金投资风格:保持还是改变?[J].金融研究,2007(8).
[15].威廉·F·夏普.投资学[M].中国人民大学出版社,129-220.
[16].熊胜君,杨朝军.投资风格指数的应用[J].证券市场导报,2003(1).
[17].熊胜君,杨朝军.中国证券投资基金投资风格变化原因分析[J].哈尔滨商业大学学报,2005(6):801-805.
[18].徐迁,张士伟,张芳,田峰.我国基金分类体系的实证研究[J].证券市场导报,2003(10).
[19].杨朝军,蔡明超,徐慧泉.中国证券投资基金风格分类研究[J].上海交通大学学报,2004(38):1006-2467.
[20].叶莉,刘巍.我国开放式基金投资风格评价方法研究[J].现代财经,2006(8).
[21].袁境.中国开放式基金投资风格趋同化的因子分析[J].经济体质改革,2005(5).
[22].曾晓洁,黄蒿,储国强.基金投资风格与基金分类的实证研究[J].金融研究,2004(3):66-78.
[23].张津,王卫华.我国证券投资基金投资风格实证研究[J].中央财经大学学报,2006(1).
[24].赵宏宇.证券投资基金的投资风格分析与比较[J].证券市场导报,2005(10).
[25].周铨,朱洪亮,李心丹.基于因子聚类方法的基金风格分类研究[J].南方经济,2006(12).
[26].玛丽·杰克逊,迈克·斯汤顿.基于Excel和VBA的高级金融建模[M].中国人民大学出版社.2006(1).
[27]. Brown S.J,and W. N. Goetzmann, Mutual Fund Styles, Journal of Financial Economies , 1997(43):373-399.
[28]. Carlson, Robert S., Aggregate Performance of Mutual Funds ,Journal of Financial and Quantitative Analysis ,1970(5):1-32.
[29]. Chan K. C ., H. L. Chen and J .Lakonisho, On Mutual Fund Investment Styles, Review of Financial Studies,2002(15):1407-1437.
[30]. Daniel K. ,M. Grinblatt , S. Titman,and R. Wermers, Measuring Mutual Fund Performance with Characteristics一Based Benchmark ,Journal of Finance, 1997(52):1035-1058.
[31]. Daniel K. and S. Titman, Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, Journal of Finance, 1997(52):l-33.
[32]. Dibartolomeo Dan & Witkowskierik , Mutual fund misclassification : Evidence based on style analysis, The Journal of Financial Analysts,1997(53):32-43.
[33]. Fama E.F. and K. R. French,The Cross Section of Expected Stock Returns, Journal of Finance , 1992(47):427-465.
[34]. John G. Gallo ,Larry J. Lockwood .Fund management changes and equity style shifts ,Journal of Financial Analysts,1999(55):44-52.
[35]. Moon Kim, Ravi Shukla and Michael Thomas, Mutual fund objective misclassification, Journal of Economics and Business,2000(52):309-323.
[36]. Sharpe, William F. ,Capital asset prices :A theory of market equilibrium under conditions of risk , Journal of Finance ,1964(19):425-442.
[37]. William F. Sharpe, Asset Allocation Management Style and Performance Measurement, Journal of Portfolio Management, Winter1992:7-19.
[2].戴志敏.我国开放式基金的风格趋同性研究[J].浙江大学学报,2003(4).
[3].方军雄.我国证券投资基金投资策略及绩效的实证研究[J].经济科学,2002(4).
[4].付金花,赵中平,汪子文.投资风格一致性对基金业绩的影响研究[J].金融经济,2006(8):23-26.
[5].何龙灿.证券投资基金风格分类[J].证券时报,2003(5).
[6].杰克·弗朗西斯.投资学--全球视角[M].中国人民大学出版社,450-561.
[7].李学峰,徐华.基金投资风格漂移及其对基金绩效的影响研究[J].证券市场导报,2007(8).
[8].吕兆德.投资基金风格分析体系之构建研究[J].现代财经,2007(205).
[9].罗真,张宗成.基金该如何分类:一个新的研究视角[J].财经科学,2004(3).
[10].欧阳敬东.浅谈我国开放式基金的投资风格[J].税务研究,2007(266).
[11].冉华.国外基金的分类研究——兼对国内基金分类的思考[J].证券市场导报,2002,(3):4-8.
[12].宋威.风格漂移与基金绩效[J].商业研究,2009(386).
[13].王敬,刘阳,杨典.国内外关于基金投资风格的研究及启示[J].证券经纬,2006(8).
[14].王敬,刘阳.证券投资基金投资风格:保持还是改变?[J].金融研究,2007(8).
[15].威廉·F·夏普.投资学[M].中国人民大学出版社,129-220.
[16].熊胜君,杨朝军.投资风格指数的应用[J].证券市场导报,2003(1).
[17].熊胜君,杨朝军.中国证券投资基金投资风格变化原因分析[J].哈尔滨商业大学学报,2005(6):801-805.
[18].徐迁,张士伟,张芳,田峰.我国基金分类体系的实证研究[J].证券市场导报,2003(10).
[19].杨朝军,蔡明超,徐慧泉.中国证券投资基金风格分类研究[J].上海交通大学学报,2004(38):1006-2467.
[20].叶莉,刘巍.我国开放式基金投资风格评价方法研究[J].现代财经,2006(8).
[21].袁境.中国开放式基金投资风格趋同化的因子分析[J].经济体质改革,2005(5).
[22].曾晓洁,黄蒿,储国强.基金投资风格与基金分类的实证研究[J].金融研究,2004(3):66-78.
[23].张津,王卫华.我国证券投资基金投资风格实证研究[J].中央财经大学学报,2006(1).
[24].赵宏宇.证券投资基金的投资风格分析与比较[J].证券市场导报,2005(10).
[25].周铨,朱洪亮,李心丹.基于因子聚类方法的基金风格分类研究[J].南方经济,2006(12).
[26].玛丽·杰克逊,迈克·斯汤顿.基于Excel和VBA的高级金融建模[M].中国人民大学出版社.2006(1).
[27]. Brown S.J,and W. N. Goetzmann, Mutual Fund Styles, Journal of Financial Economies , 1997(43):373-399.
[28]. Carlson, Robert S., Aggregate Performance of Mutual Funds ,Journal of Financial and Quantitative Analysis ,1970(5):1-32.
[29]. Chan K. C ., H. L. Chen and J .Lakonisho, On Mutual Fund Investment Styles, Review of Financial Studies,2002(15):1407-1437.
[30]. Daniel K. ,M. Grinblatt , S. Titman,and R. Wermers, Measuring Mutual Fund Performance with Characteristics一Based Benchmark ,Journal of Finance, 1997(52):1035-1058.
[31]. Daniel K. and S. Titman, Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, Journal of Finance, 1997(52):l-33.
[32]. Dibartolomeo Dan & Witkowskierik , Mutual fund misclassification : Evidence based on style analysis, The Journal of Financial Analysts,1997(53):32-43.
[33]. Fama E.F. and K. R. French,The Cross Section of Expected Stock Returns, Journal of Finance , 1992(47):427-465.
[34]. John G. Gallo ,Larry J. Lockwood .Fund management changes and equity style shifts ,Journal of Financial Analysts,1999(55):44-52.
[35]. Moon Kim, Ravi Shukla and Michael Thomas, Mutual fund objective misclassification, Journal of Economics and Business,2000(52):309-323.
[36]. Sharpe, William F. ,Capital asset prices :A theory of market equilibrium under conditions of risk , Journal of Finance ,1964(19):425-442.
[37]. William F. Sharpe, Asset Allocation Management Style and Performance Measurement, Journal of Portfolio Management, Winter1992:7-19.