【作者】 刘聪；

【导师】 艾洪德；

【作者基本信息】 东北财经大学 ， 金融学， 2009， 博士

【摘要】 中国于20世纪90年代开始投资基金的探索和实践,经过10余年的发展,中国基金市场从无到有,从小到大,无论是基金公司数量、规模,基金投资者数量,还是产品质量、规模都取得了长足的进步,并呈现出旺盛的生命力。作为资本市场最重要的机构投资者之一,理论界对于基金的相关研究也从未停止过。出于研究细致完整的需要,本文仅针对基金投资风格进行研究。基金投资风格是一只基金的“价值观”,其背后蕴藏的是这只基金总体的投资偏好、资产配置模式、选股思路及业绩目标等,绝不是单只股票投资与否的零散决策。已有基金相关研究,对于基金投资风格的关注较少,且大多局限于投资风格识别方法研究、投资风格识别实证研究、投资风格飘移实证研究及投资风格与基金业绩关系实证研究等四个方面。而我们在围绕基金投资风格进行研究的同时,会结合基金公司(董事会)特征、基金经理个人特征及基金业绩等展开。本文主要针对以下几个问题进行研究：第一,基金投资风格的持续性研究。持续性研究包括基金实际投资风格与名义投资风格背离状况研究,以及基金实际投资风格的持续性研究(运用回归分析方法)。第二,运用回归分析方法对基金实际投资风格持续性的影响因素进行深入地剖析。第三,运用logit模型分析基金名义投资风格与基金经理个人特征之间的关系,二者的关系反映出基金公司任命基金经理时所遵循的准则。第四,运用logit模型分析基金实际投资风格与基金经理个人特征之间的关系,二者的关系反映出不同特征的基金经理的实际投资偏好。进一步,将上两个研究的结论进行比较分析,试图发现“现实”——基金经理实际投资风格偏好与“理想”——基金公司(董事会)任命初衷的差距。第五,运用分类比较方法,对以不同标准划分(如投资风格、基金经理特征、基金公司规模及基金规模等)的基金样本的业绩表现进行比较研究。通过研究我们共得到三组结论：第一组结论包括：我们发现中国开放式基金确实存在实际投资风格与名义投资风格相背离的状况。较短短期内(如6个月、12个月),中国开放式基金的实际投资风格在大盘/小盘型、成长/价值型和动量/反向型上均表现出一定的持续性,且考察区间间隔越短,风格持续性特征越强；而在较长期内(24个月),开放式基金的投资风格并不具备明显的持续性。以各个考察区间来看,封闭式基金实际投资风格的持续性都要好于开放式基金,但也呈现间隔越长,风格持续性越弱的现象。对基金投资风格持续性构成显著影响的因素包括基金经理变更、基金规模变化、股票市场趋势变动以及基金前期业绩。第二组结论包括：基金公司更倾向于为名义风格为价值型的基金任命女性基金经理,而实际上,女性基金经理对于稳健的投资风格并未表现出显著的偏好。基金公司更倾向于为价值型基金任命从业时间较长的基金经理,同时,从业时间越长的基金经理也越倾向于稳健的投资风格。基金公司在为不同投资风格的基金选择基金经理时,对基金经理是否毕业于名校没有显著的倾向,但实际上,毕业于名校的基金经理更倾向于选择稳健的投资风格。价值型基金更倾向交由具有海外留学经历的基金经理掌管,但实际上,具有海外留学经历的基金经理并没有显著的风格偏好。基金公司更倾向于为成长型基金任命具有理工科背景的管理者,但实际上,具有理工科背景的基金经理对稳健或激进的投资风格并没有显著的偏好。基金公司更倾向于为价值型基金任命具有经济学背景的管理者,具有经济学背景的基金经理的确更倾向于选择稳健的投资风格,相较于小规模基金公司,较大规模的基金公司更倾向于选择女性基金经理；基金公司规模越大,越倾向于选择毕业于名校或具有海外留学经历的基金经理；基金公司董事会独立性越强,越倾向于选择毕业于名校的基金经理；由多人(两人及两人以上)掌管的基金更倾向于选择具有经济学教育背景的基金经理。第三组结论包括：购买大型基金公司基金的投资者在2到3年内的收益均要高于购买小型基金公司基金的投资者,如果投资者愿意持有基金稍长一段时间,那么购买大公司产品可能更好一些；基金投资者在股市上涨时的收益虽落后于大盘,但在股市下跌时的损失亦小于大盘,基金投资者风险波动的范围要窄于大盘波动的范围,因此相比较直接股票投资而言,基金投资还是相对稳健的；另外,基金投资者2005年至2008年3年间的收益明显高于大盘上涨的幅度,因此持有基金稍长一段时间似乎更可能获得比直接投资股票高的收益率。从较长区间(3年)基金收益状况来看,规模较大的基金业绩表现要好于规模较小的基金,而且,无论是规模较大的基金还是规模较小的基金,其业绩表现都要强于大盘。从较短区间(1年)基金收益状况来看,规模较大的基金与规模较小的基金,在业绩方面没有明显的赢者和输者。女性基金经理与男性基金经理在业绩表现上并没有显著的好与坏；名校毕业似乎与基金表现好没有必然的联系；不具备海外留学经历的基金经理所执掌的基金在业绩表现上要稍好一些；具有符合理工科与经济类复合教育背景的基金经理所执掌基金的业绩表现要更好一些；与从业经验欠丰富和年纪较轻的基金经理相比,从业经验丰富的基金经理及年纪较长的基金经理所执掌的基金业绩表现都要稍好一些,但是差别并不显著。从较长区间(3年)基金收益情况来看,名义风格为价值型、平衡型及成长型的三类基金,在业绩表现上差别并不明显。而从较短区间(1年或2年)基金收益情况来看,在这三种类型的基金中,并没有哪一类基金的业绩表现格外突出。从这一结果也可以看出,投资于名义风格为成长型的基金并不意味着比投资于价值型的基金获得更高的收益率,这同时也意味着许多基金似乎并没有按照其约定的投资风格进行投资。综合以上研究结论,我们从固化投资风格、稳定基金经理队伍及心理建设及风险教育三个方法对基金公司、基金经理与基金业的未来发展方向提供了若干建议。更多还原

【Abstract】 China began to explore and practice investment funds in the 1990s. Through more than 10 years development, the market of investment funds has grown from nothing and expanded from small to big. The number and size of the fund companies, the number of fund investors, the quality and size of investment funds’products have made the considerable progress during the last ten years. As one of the most important institutional investors in the capital market, the academic circles have never stopped researching the investment funds.In order to make our research complete and meticulous, we just focus on investment style of investment funds. Investment style should be the "value" of the fund. From investment style, we can see the funds’ appetite, the modes, principles and ideas of portfolio management and the target of operating. It’s not the scattered decisions on which stock should be chosen. Previous researches have seldom focused on investment styles of funds and most of them which studied investment styles focused on the recognition methods of investment styles, empirical studies of style recognition, empirical researches of the drift of styles and empirical researches of the relationship between investment styles and performance of funds. In our study, we will combine the style with the characteristics of investment companies and their boards, the characteristics of funds’ managers and funds’ performance.The first question in our research is the study on persistence of investment funds’styles. In this part, we studied the deviation of nominal investment styles and real investment styles and the persistence of investment styles using regression analysis. The second question in this paper is the analysis of influencing factors on the persistence of real investment styles of funds using regression analysis. The third question is the analysis of the relationship between funds’nominal investment styles and funds’managers’characteristics using logic model. The relationship between them reflects the nomination rules followed by the fund companies. The fourth question is the analysis of the relationship between funds’real investment styles and funds’managers’characteristics using logic model. The relationship between them reflects the real investment favor of funds’managers. Furthermore, through comparing the results of the third question and the fourth question, we could find out the differences between the "fact", the real investment favor of funds’ managers, and the "ideal", the nomination rules followed by the fund companies. The fifth question is comparative studies of funds’ performances. The funds are divided by the investment styles, the characteristics of funds’managers, the size of fund companies and the size of funds.Through researching we are arriving at the following conclusions:we found out that the real investment styles of open-ended funds really deviated from the nominal investment styles of open-ended funds. In the short term (6 or 12 months), the real investment styles of open-ended funds showed strong persistence in large-cap or small-cap style, growth or value style and momentum or reverse style. The shorter the period studied, the stronger the persistence of funds’ style. In a little longer term (24 months), the real investment styles of open-ended funds didn’t show strong persistence in fund style. The persistence of close-ended funds’style is stronger than that of close-ended funds’ in 6 months,12 months and 24 months. And the persistence of close-ended funds’ style became weaker when the period went long. The influencing factors on the persistence of real investment styles of funds included change of the fund managers, change of the size of funds, change of the stock market and the past performance of funds.We also found that fund companies were inclined to nominate female manager for the funds of value style. And in face, female managers didn’t show their preference for prudent investment style significantly. Fund companies were also inclined to nominate managers with a longer career for the funds of value style. Meanwhile, the managers with a longer career were inclined to prudent investment style. Fund companies didn’t show their significant preference for managers graduated from prestigious universities during nomination for different styles of funds. In fact, the fund managers graduated from prestigious universities preferred prudent investment styles. Fund companies were inclined to nominate managers with overseas study experiences. In fact, the fund managers with overseas study experiences didn’t show their significant preference for fund investment style. Fund companies were inclined to nominate managers with science and engineering background for funds of growth style. But in fact, the fund managers with science and engineering background didn’t have their favor in investment style. Fund companies were inclined to nominate managers with economics background for the funds of value style, while, the managers with economics background preferred the prudent style.Compared with the small fund companies, the large fund companies were inclined to choose female fund managers. The larger fund companies preferred fund managers graduated from prestigious universities and with overseas study experiences. The stronger the dependence of the board of the fund companies is, the more the managers graduated from prestigious universities were needed. The funds managed by more than two managers were inclined to choose the fund managers with economics background.The investors who purchased funds of the large fund companies would get more reward than those who purchased funds of the small fund companies in 2 and 3 years. If the investors would like to hold the funds longer, then, it would be better to buy the products of large fund companies. Although the return of investing funds were less than investing the bull stock market, the lost of investing funds were less than investing the bear stock market. Compared with investing the stocks directly, investing funds was sounder. Moreover, in average, the return got from funds between 2005 and 2008 were much more than that got from the stock market. Therefore, the investors would get more return if they held funds for a long time. In a longer period (3 years), the performance of the large funds was better than that of the small funds. Moreover, the performance of the large and small funds was better than that of the overall stock market. In a short period (1 year), the performance of the large funds was almost the same as the performance of the small funds.The performance of female and male fund managers were not significant different. Graduation from the prestigious universities had no relationship with the performance of funds. The performance of the fund managers without overseas study experiences was better than that of those with overseas study experiences. The funds with managers of both science and engineering background and economics background performed better. Compared with the managers with a shorter career and young age, the funds with managers with a longer career and the funds with the older managers performed better, but the differences are not significant.In a long period (3 years), the differences among the funds with different investment styles were not so much. In a short period (1 year or 2 year), the differences among the funds with different investment styles were not so much either. These conclusions meant that investors holding the funds with growth style would not get more return than those holding the funds with value style. Meanwhile, these conclusions meant that many funds did not obey their given investment styles.Above all, we advised the fund companies, fund managers and fund industry from the aspects of the persistence of investment style, the stability of fund managers and psychology set-ups and risk education.更多还原