摘要
自1998年《证券投资基金管理暂行办法》出台以来，证券投资基金规模不断壮大。截至2003年，我国上市基金数量达到74只，其中封闭式基金54只。与此同时对证券投资基金的研究也日渐深入和翔实。其中对于证券投资基金的投资风格的研究日益受到人们的关注。目前证券投资基金业正处于蓬勃发展阶段，证券投资基金业的蓬勃发展必然带来了证券投资基金的投资风格识别问题。
令人遗憾的是，我国的证券投资基金在其投资风格方面却往往语焉不详甚至在一定程度上对是一种对公众的误导。目前我国基金市场上地许多基金存在投资风格模糊现象，甚至某些基金没有明确定位自己的投资风格。这就给广大投资者选择适合自身偏好和需要的基金品种带来了困难，而相同投资风格的基金之间的业绩评价也缺少了分析的基础。
投资风格分析的目的就在于通过对基金实际投资过程当中所表现出的风格进行全面、客观的分析。从而透彻地了解基金的投资风格，确定其投资类型，便于投资者结合自己的收益与风险偏好进行合理的选择。其次，基金投资风格分析的另外一项重要意义在于检验那些已经具有明确定位的基金的投资风格是否与其设立时对外宣称的风格相一致，即检验其在实际运作过程中是否兑现了在基金契约中规定的对投资风格方面的承诺。再次是通过建立统一的评价标准对基金业绩进行公正的评价，将避免因选取的评价标准不同而导致基金业绩评估结果不一致的混乱现象出现。
本文从基金的投资收益对不同风格指数的暴露角度出发，采用基于收益的投资风格分析法(Return-based Style Analysis)，从我国沪、深两大证券交易市场选取2000年前上市交易的20只封闭式基金作为研究对象；为了使对于基金风格的考察能够在完整的涨跌周期内进行，选取2000年1月到2002年12月间共计12个季度的基金数据作为研究对象。原因是这段时间经历了中国股票市场行情“5．19”行情之后的较为完整的上涨和下跌行情。从实证的角度着重分析了我国证券投资基金投资风格的特点。
得到的实证分析结果说明：首先，各只基金的风格特征不明显，存在雷同现象。其次，我国证券基金投资风格与其对外宣称的风格往往有出入。再次，同一基金公司旗下基金的风格雷同。
In China, Securities Investment funds are springing up in recent years. The number of funds in China is 74 by the end of the year 2003, including 54 closed-end funds. With the dramatic development of fund, the problem to discriminate the style of a certain fund has been put into the agenda of researchers and investors.
However, the existing style-announcements made by the funds themselves are obscure and even misleading to the public. Furthermore, some of them don't have an accurate definition of the style. Therefore, it is quite hard for the investors to discriminate the fund and choose fund according to the preference of their own. Moreover, the misunderstanding of the investment style will result in a lack of the platform on which the performance assessment is based.
The goal of style analysis is to discriminate fund from each other through the practical style reflected from their investment behavior. First, it is self-evident that the final goal of style analysis is to help the investors to make a rational investment decision. Second, another use of style analysis is to check out weather the funds are behaving according to their announced style. In other words, to find out if the fund manager fulfill the promise of a certain style to the investors. Third, it will avoid the inconsistency of funds' performance derived by various methods.
In this paper, we studied the investment style of 20 Chinese closed-end funds with a method called Return-based Style Analysis (abbreviated as RBSA), which focus on the funds' exposure to the style indexes to show the investment style. The sample period covers the time of 12 quarters from January 2001 to December 2002 for it covers an entire cycle of the security market after the exuberance in May 19, 1999. We analyzed the investment style of the closed-end from an empirical point of view and draw the characteristic of the funds' style.
The conclusions from our research are: First of all, the closed-end funds do not have exact investment style. Most of the funds shared the same style during certain period. Second, the investment styles of the funds are not the same as the style they announced. Finally, funds belong to common fund management company often share the same style.
Fu Dongsheng (Finance) Directed by-Yang Chunpeng
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