中文摘要：

在中国开放式基金市场上,业绩比较基准选取不当会给投资者带来误导,同时中国基金市场投资风格趋同化使得投资者难以鉴别基金业绩的优劣。采用2004年至2015年的月度样本数据,通过构建主动型业绩比较基准组合（APB组合）,将其作为描述基金风格的新基准,同时运用各APB组合构建APB因子,并加入到传统的三因子模型中,研究发现：该模型可有效控制基金投资风格趋同化带来的影响,还可提高投资者鉴别基金业绩优劣的能力;此外,加入APB因子的三因子模型产生的基金收益具有较强的持续性,对于改进现有基金业绩评价方法具有重要的参考价值。

英文摘要：

In China＇s open-ended fund market, the inappropriate selection of performance bench- mark 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 perfor- mance. 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.