| Since the 20th century,China’s capital market has grown and gradually converged with the international financial system.The fund industry has fully benefited from the capital market dividend,ushering in explosive growth and becoming an important tool for market investors to manage their capital.The performance benchmark is a portfolio that represents the investment style of a fund and is an important medium for investors to assess the management ability of active fund managers.Active funds require fund managers to bring investors excess returns through the "active share" of the actual portfolio relative to the performance benchmark,and the fund manager should maintain the consistency between the investment style and the performance benchmark when constructing the portfolio,so that investors can accurately identify the fund investment style through the performance benchmark and thus therefore,the consistency of fund investment style and performance benchmark is highly valued by the regulatory authorities.In this paper,a total of 413 equity and hybrid funds established before January 1,2015 and in existence since then in the actively managed open-end fund market in China are selected as the research objects,and the consistency of each fund’s investment style with the performance benchmark in a single year from 2016 to 2021 is examined using the Fama-French five-factor model.To gain insight into the inconsistency of investment styles in China’s fund market,this paper integrates domestic and international research,behavioral finance and other theories to establish a model to explore the causes of this phenomenon and explain the causes in the context of the current situation and characteristics of China’s fund market development.Finally,this paper uses the PSM model to study the impact of investment style consistency on fund investment returns,and synthesizes the full research content and conclusions to form policy recommendations for the future development of China’s fund market.The results of this paper find that there is a more general inconsistency of investment styles in China’s fund market,and it shows the directional characteristics of drifting toward small-cap stocks and growth stocks.Due to the imperfection of China’s market index system,the homogenization of performance benchmarks is serious,but there is no"strategic" behavior of fund managers to deliberately choose lower return performance benchmarks to beautify performance.The inconsistency of investment style is mainly caused by the fund manager’s stock shifting behavior outside the performance benchmark style,and the stock market boom and previous performance ranking will have an impact on the fund manager’s behavior,thus affecting the consistency of investment style.Under the empirical results of the PSM model,funds with inconsistent investment styles achieve higher excess and risk-adjusted returns.Therefore,this paper argues that the inconsistency in investment styles should be viewed from a rational and neutral perspective,and investors’rights and interests should be more strongly protected through flexible regulation by the regulatory authorities and enhanced fund information disclosure. |
