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论文编号：	11856
作者编号：	2120182995
上传时间：	2020/6/23 9:23:26
中文题目：	开放式基金投资风格和基金业绩研究——基于K-Medoids的聚类分析
英文题目：	Research on Open Fund Investment Style and Fund Performance——A Cluster Analysis Based on K-Medoids
指导老师：	齐岳
中文关键字：	K-Medoids聚类模型；开放式基金；投资风格；业绩
英文关键字：	K-Medoids Clustering Model; Open-End Fund; Investment Style; Performance
中文摘要：	开放式基金是机构投资者的重要参与者，近年来随着证券市场的规范化和科学化，也取得了较为明显的进步和提升。随着基金产品的不断丰富和多样化，基金投资者对产品进行选择的过程实际是对基金投资风格的甄别，基金投资风格是投资者选择基金产品的重要依据。但是在基金的实际运行过程中，其所表现出来的投资行为和风格往往与招募说明书存在出入和差异，普通投资者仅根据招募说明书来获取信息是远远不够的，而是需要从其他方面获得更为真实有效的基金投资行为信息。如何提供有效的基金实际投资风格识别方法成为基金投资领域的重要话题。 本文在投资组合理论、委托-代理理论和行为金融理论的理论背景下对基金投资风格漂移的相关文献进行了系统地回顾和梳理，基于此提出区别于基于基金收益率特征的投资风格漂移识别方法的K-Medoids聚类模型，利用反映基金持股特征的一系列指标对基金的实际投资风格进行识别。并且基于样本基金的投资风格识别结果，本文利用回归模型分析基于K-Medoids聚类模型识别的基金投资风格变化结果与以收益率衡量的基金业绩表现之间的关系，从基金过去业绩的角度对投资风格漂移的动因进行了实证检验和分析，从基金未来业绩的角度实证分析了投资风格漂移的经济后果。 研究结果表明，从整个研究阶段来看，尽管本文选取的样本基金在初始招募时所承诺和约定的投资风格不同，但是最终它们都发生了风格的改变，样本之间的漂移次数不存在明显差异，在15个研究区间内样本基金投资风格漂移次数达9.4次；从不同阶段的漂移情况来看，价值型基金在股市繁荣时发生了大幅度的风格漂移，在股市繁荣时持有成长股的比率较高；在股市表现低迷时，价值型和平衡型的基金占比更高。基金投资风格漂移与基金业绩表现方面，实证结果表明基金过去业绩表现越好，未来出现投资风格漂移的可能性越大；基于K-Medoids聚类模型识别结果的基金投资风格改变难以改善和提升其基于收益率表现的未来业绩，即投资风格漂移并不能使基金业绩表现变好，本文与以往研究结论保持了一致。
英文摘要：	Open-end funds are important participants in institutional investors. In recent years, with the standardization and scientificization of the securities market, significant progress and improvement have also been achieved. With the continuous enrichment and diversification of fund products, the process of fund investors' selection of products is actually a screening of the fund's investment style, which is an important basis for investors to choose fund products. However, in the actual operation of the fund, its investment behavior and style are often different from and different from the prospectus. It is not enough for ordinary investors to obtain information based on the prospectus. How to provide effective fund actual investment style identification methods has become an important topic in the field of fund investment. This paper systematically reviews and reviewss the relevant literature of fund investment style drift under the theoretical background of portfolio theory, principal-agent theory and behavioral finance theory. Based on this, it proposes a method to distinguish investment style drift recognition based on the characteristics of fund returns The K-Medoids clustering model uses a series of indicators that reflect the characteristics of fund holdings to identify the actual investment style of the fund. And based on the results of investment style identification of sample funds, this paper uses a regression model to analyze the relationship between the changes in the investment style of funds identified based on the K-Medoids clustering model and the performance of the fund measured by the rate of return. The motivation of investment style drift was empirically tested and analyzed, and the economic consequences of investment style drift were empirically analyzed from the perspective of the future performance of the fund. The research results show that from the entire research stage, although the sample funds selected in this paper promised and agreed different investment styles during the initial recruitment, in the end they all changed in style, and there was no significant difference in the number of drifts between samples. In the 15 research intervals, the sample fund's investment style drifted up to 9.4 times; from the perspective of drift at different stages, value-based funds experienced a significant style drift during the stock market boom and held growth stocks during the stock market boom. The ratio is higher; when the stock market is sluggish, value and balanced funds account for a higher proportion. In terms of fund investment style drift and fund performance, empirical results show that the better the fund's past performance, the greater the likelihood of future investment style drift; the change in fund investment style based on K-Medoids clustering model recognition results is difficult to improve and enhance its The future performance based on the performance of the return rate, that is, the drift in investment style does not make the performance of the fund better, this article is consistent with previous research conclusions.
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