关键词: 开放式基金,风格趋同化,业绩比较基准

Abstract: In China’s open-ended fund market, the inappropriate selection of performance benchmark will mislead the fund investors. At the same time, the assimilated investment style in China’s fund market makes the investors difficult to identify strength and weakness of the fund performance. This paper adopts the monthly sample data from 2004 to 2015 to construct the active performance benchmark portfolio (APB portfolio) as a new benchmark to describe the fund style. Then, it makes use of each APB portfolio to build APB factor, and put it into the traditional three-factor model. The findings show that this new model can not only control the effects brought forward by the assimilated fund investment style effectively, but also improve the ability of investors to identify the fund performance. In addition, the fund return from the three-factor model with added APB factor has relative stronger continuity, which has significant reference value for the improvement of the existing fund performance evaluation method.

Key words: open-ended funds; style assimilation; performance benchmark