公募基金在当前阶段正逐渐成为证券市场上个人投资者和机构投资者的青睐对象。基金业绩不仅是衡量基金管理团队能力的重要指标,也是投资者选择基金时的重要参考因素。因此,基金业绩成为学术界长期以来的研究热点。基于此,本文从基金业绩的测量方法和影响因素两个角度,系统性地梳理了公募基金业绩的相关文献。关于基金业绩的测量方法,本文将基金业绩的测量方法分为原始收益率和风险调整收益率两个角度。关于基金业绩的影响因素,本文从基金个体特征、基金经理特征和基金管理公司特征等三个方面展开。在前人研究的基础上,本文进一步提出未来公募基金业绩的研究方向。At the current stage, mutual funds are gradually becoming a favored investment choice among individual and institutional investors in the securities market. Fund performance is not only an important indicator for evaluating the capabilities of fund management teams but also a critical reference for investors when selecting funds. Consequently, fund performance has long been a research hotspot in academia. Based on this, this paper systematically reviews the literature related to mutual fund performance from two perspectives: measurement methods and influencing factors. Regarding measurement methods, the paper categorizes fund performance evaluation into two dimensions: raw returns and risk-adjusted returns. Concerning the influencing factors of fund performance, the discussion is expanded to cover three aspects: fund-specific characteristics, fund manager characteristics, and fund management company characteristics. Building on prior research, this paper further proposes directions for future research on mutual fund performance.
本文采用实证研究的方法,以国内二百多支开放式普通股票型基金为研究对象,采用时间和个体双固定效应模型研究了基金业绩与投资风格漂移的关系。研究发现:(1) 开放式股票型基金的投资风格漂移现象与基金业绩负相关,即基金业绩越差,基金越有可能发生投资风格漂移的现象;(2) 基金规模会加大基金业绩与投资风格漂移的负相关关系,即基金规模越大,同样差的基金业绩下基金发生投资风格漂移的可能性越大。Using the method of empirical research, this paper studies the relationship between fund performance and investment style drift by using time and individual dual fixed effect model with more than 200 open-end common stock funds in China. The findings are as follows: (1) The investment style drift of open-end stock funds is negatively correlated with fund performance, that is, the worse the fund performance, the more likely the fund is to experience investment style drift;(2) Fund size will increase the negative correlation between fund performance and investment style drift, that is, the larger the fund size, the greater the possibility of investment style drift under the same poor fund performance.
