基金的投资绩效归因分析及实证研究  

Attribution Analysis of Fund Performance and Its Empirical Application

作　　者：徐颖[1] 刘海龙[1] 

机构地区：[1]上海交通大学管理学院金融工程研究中心,上海200052

出　　处：《系统工程》2006年第1期76-81,共6页Systems Engineering

基　　金：上海市哲学社会科学规划课题(2003BJL007)

摘　　要：通过证券投资基金的业绩归因发现基金业绩不佳的来源是改善基金投资业绩最有效的方法之一。本文主要利用国际上基金业绩归因中普遍采用的B rinson模型,首先对中国证券投资基金的业绩进行归因设计,并以德盛稳健基金2005年第一季度的数据为基础进行了实证研究。实证结果表明:在2005年第一季度,德盛稳健基金及其股票组合跑赢了基准,而债券组合没有跑赢,这主要是由于个券选择不合理;基金经理的仓位控制能力和行业配置能力良好,而股票量价操作能力较差;因此对个券选择或股票量价操作进行改进,基金的业绩将会更好。Performance attribution of security investment funds is one of the most efficient methods to find the sources of the underperformance, which can help improve the fund performance. This paper first designs the performance attribution of China＇s investment funds mainly through the Brinson model, which is the most widely used internationally. And then the empirical analysis is conducted on the basis of some data about De Sheng Stable Fund. The empirical results show that： both of the fund and the stock portfolio overperform their benchmark, while the bond portfolio underperforms its benchmark because of the irrationality about the bond selection. The ability of controlling the warehouse stock rate and Industry allocation are both better, but the ability of controlling the bid/asked price and the amount is bad. So if the fund manager can improve on the bond selection or the control of the warehouse stock rate and the Industry allocation, the fund performance will be better.

关 键 词：投责绩效 归因分析 Brinson模型 实证分析 

分 类 号：F830[经济管理—金融学]