我国封闭式投资基金业绩评价实证研究  

Empirical Research on Performance Evaluation of Closed-end Security Investment Funds in Our Country

作　　者：王建琼[1] 卢涛[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《数理统计与管理》2006年第1期93-100,共8页Journal of Applied Statistics and Management

摘　　要：随着我国基金行业超常发展,恰当的分析和评价基金业绩已越来越重要。本文根据CAPM的基本原理,利用国外先进的基金业绩评价方法对我国封闭式基金的综合业绩进行实证研究。研究结果表明:总体来看,基金获得的市场超额收益显著为负。基金经理不具有证券选择能力,但具有一定的市场择时能力,但这两种能力均不显著。同时,我们还发现不同投资风格的基金经理具有不同的证券选择能力和市场择时能力。With the transnormal development of funds industry in our country, properly analyzing and evaluating funds performance is becoming more and more important. Under that background, the article, based on the principles of CAPM ,makes empirical study on the performance evaluation of closed-end fund with the foreign advanced means. The results of the research indicate：as a whole, the ability of the closed-end funds gaining market excess income is minus, and it＇ s statistically significant. The mutual funds＇ managers don＇ t have security selection ability. However,they have market timing ability to some extent. Statistically, the two abilities are not significant. At the same time, we find that mutual funds＇ managers of different investment styles have different ability of security selection and market timing.

关 键 词：基金业绩测评 GT指数 证券选择能力 市场择时能力 

分 类 号：O212[理学—概率论与数理统计]