【摘要】 大量国内外文献研究了基金投资能力,但很少从经济周期视角研究基金投资策略。文章首先从选股和择时两个维度检验了我国开放式基金投资策略是否存在周期性转换,然后分析了不同投资策略的相对绩效与投资者偏好。研究表明:第一,基金经理确实存在显著的选股与择时能力。从整个行业看,基金的择时与选股能力存在周期性转换,其中择时能力在经济紧缩期更突出,而选股能力在经济扩张期更突出。第二,个体基金存在显著的投资策略粘性,而不存在明显的周期性转换,中国市场上择时与选股两种能力的周期性转换并不能带来更好的基金收益。第三,行业层面的周期性源自个体基金两类不同的投资策略:第一类投资策略在经济扩张期的选股能力和择时能力都强于其他基金,而在经济紧缩期则都弱于其他基金,采用这种投资策略的基金更关注其在经济扩张期的投资表现;第二类投资策略则相反,采用这种投资策略的基金更关注其在经济紧缩期的投资表现。前者具有高收益、高风险的特征,而后者则表现为低收益、低风险。文章的研究不仅发现了中国基金投资行为的新特征,还为投资者选择基金提供了投资决策建议。更多还原

【Abstract】 A large amount of literature analyzes the investment ability of fund managers,but very little of them explore funds’ investment strategy from a perspective of economic cycles.This paper analyzes the investment strategy of China’s open-end funds and its cycle characteristic from the perspective of stock picking and market timing skills.Then it analyzes relative performance of different types of investment strategy and investor preferences.Firstly,fund managers actually have significantly stock picking and market timing skills.As for the whole fund industry,market timing and stock picking skills of funds have periodic transformation,namely the market timing skill is more prominent in economic contraction and the stock picking skill in economic expansion.Secondly,fund individuals have significant stickiness of investment strategy,but there is no obvious periodic transformation.And the periodic transformation of market timing and stock picking skills in Chinese market cannot result in better fund benefits.Thirdly,the cycle characteristic at industry level stems from two types of investment strategy of individual funds:stock picking and market timing skills of the first one are stronger than other funds in economic expansion and are weaker than other funds in economic contraction;the second type of investment strategy is opposite to the first one,and funds taking this type of investment strategy focus more on their investment performance in economic contraction.The former is featured by high benefits and risks,and the latter low benefits and risks.It not only finds out new characteristics of fund investment in China,but also provides investment decisionmaking suggestions when investors select funds.更多还原