In 2006 year, the open-ended fund had an outstanding achievement which attracted more attention in capital market in China. The investment style is not only the important characteristic in the running of fund, but also a factor in evaluating fund's achievement. However, the actual performance of mutual funds in China was always different from the styles its bills previously set.This paper first shows the theory foundation of investment style from the modern portfolio theory and value at risk method. Then, it presents two methods to confirm the investment style of fund, which are Holding-Based Style Analysis and Return-Based Style Analysis.Secondly, this paper carried out an empirical research in four aspects of distribution of income, shareholding schemes, value at risk and style regression of return. It discovers that the change and consistence of investment style of open-end fund in China, and the achievement is out of step with distribution of income. Also, it points out that the open-end funds with same investment style have different preference of risk.Finally, this article explains the result of the empirical research from liquidity risk, investment varieties in market and the behavior of fund manager. And then it provides many suggestions to pursue different investment style. |