作　　者： ; ;

机构地区： 华南理工大学工商管理学院

出　　处： 《商业研究》 2011年第5期122-127,共6页

摘　　要： 投资风格漂移的量化研究是规范基金产品设计与控制基金经理投资行为的关键环节。根据分形维和经济弹性定义,在分析业绩比较基准风格指数对基金业绩影响的基础上,给出了基金投资风格漂移的价格弹性分形维定义,并推导出该分形维数的计算公式:基金对数收益序列与比较基准风格指数对数收益序列的比值。以我国2003年成立的18只开放式基金为研究样本,测算出基金投资风格漂移的价格弹性分形维,实证结果表明:基金投资风格均发生了明显的漂移现象;根据价格弹性分形维与投资风格一致性基准线得到了基金投资风格漂移的阀值,为控制较严重的投资风格漂移现象提供了衡量标准。本文研究方法与结论对完善基金产品创新发行理念、提高基金市场的效率提供了决策依据,并为进一步量化我国开放式基金投资风格漂移风险提供了新的研究思路。 Quantitative research on investment style drift is the key link to regulate the design and control the investment behavior of fund managers.This paper analyzed the impact of performance comparison benchmark style index on fund performance based on the fractal dimension and the economic flexibility definition,defined the price elasticity fractal dimension of fund investment style drift,derived the formula of fractal dimension： the ratio of fund return series to comparison benchmark style index return series.Taking 18 open-end funds for the research sample founded in 2003,it calculated the price elasticity fractal dimension of fund investment style drift.Empirical results showed that： fund investment style appeared the obviously fractal characteristics,according to the price elastic fractal dimension and investment style consistent benchmark line,we can obtain the threshold of fund investment style drift,which will be good for controlling the more serious investment style drift phenomenon.The methods and conclusions provide a decision making basis for issuing on the concept of product innovation and improving efficiency of the fund market,and provide a new research ideas to further quantify the investment style drift risk of open-end funds.

关 键 词： 投资风格漂移 分形特征 价格弹性分形维 开放式基金

领　　域： [经济管理]