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根据David的投资风格分类思想,利用三因素模型对中国2004年7月～2011年3月的238只开放式股票型基金进行投资风格漂移测量。结果表明,小市值和大市值成长型基金均表现出相对较好的风格一致性,名义投资风格和实际投资风格不同的比率分别为33.33%和35.00%,但中市值成长型基金表现出较高的漂移性,风格差异比率为77.78%;价值型基金风格差异平均比率为65.21%;平衡型基金风格差异平均比率为85.70%。
According to David’s investment style classification theory, three-factor model was used to measure the investment style drift of 238 open-end equity funds in China from July 2004 to March 2011. The results show that the small cap and large cap growth funds all showed relatively good style consistency with 33.33% and 35.00% of the nominal and actual investment styles, respectively, but the mid-cap growth funds showed higher Of the drift, the style difference ratio was 77.78%; value-based fund style difference of the average ratio was 65.21%; balanced fund style difference of the average ratio of 85.70%.