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中文摘要：
基于Sharpe（1992）风格模型,笔者对投资基金的风格漂移行为进行了实证研究,结果表明无论是封闭式基金还是开放式基金,实际的资产配置结果与所承诺的＂名义＂风格之间存在明显的差异,基金生命周期内的资产组合配置属于＂黑箱＂过程;尤其在市场波动剧烈条件下,基金更加倾向于选择能动性较强的资产配置方式,进而导致更大程度的风格漂移。有效识别基金的＂名义＂风格与实际资产配置方式的差异,了解基金投资组合构建的＂黑箱＂过程,有助于投资者进行更加科学地选择基金与投资决策。
英文摘要：
Based on the style model of Sharpe（1992）,this paper proves the fund style with drift behaviors among different funds.The results show that there are clear differences between the nominal style they promised and the portfolio they allocated actually,which means the existence of black box process.And the funds have a preference on dynamic allocation,which leads to a greater degree of style drift.So,effective identification of the differences between nominal style and actual allocation in funds,then,making sure the black box process in the portfolio,will make you a wise investor when faced with the chosen problems and decision procedures.
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