基金公司总体绩效检验与投资风格分析  

Overall Performance Estimation of Fund Companies and Analysis of Investment Styles

作　　者：白钦先[1] 王兴运[2] 屈源育 

机构地区：[1]辽宁大学国际金融研究所,辽宁沈阳110036 [2]辽宁大学经济学院,辽宁沈阳110036 [3]对外经贸大学金融学院,北京100029

出　　处：《当代财经》2013年第12期47-57,共11页Contemporary Finance and Economics

基　　金：教育部哲学社会科学研究专项委托项目(09JF001);辽宁大学青年科研基金项目

摘　　要：基于三因子模型以及引入T-M模型二次项的三因子模型,对我国积极管理的开放式股票型基金公司总体绩效(EW和VW方法计算)进行实证检验,得到三个结论:一是我国基金公司总体上不存在超越市场的能力,在进行分时段回归后发现,基金公司随市场走势改变而变换投资风格,但绩效指标α仍然为0;二是基金公司规模与基金公司绩效无关;三是宣称不同投资风格的基金公司的实际投资风格趋同。Based on the three-factor mpdel and the three-factor model with the quadratic term of T-M model, this paper conducts an empirical test on the overall performance of China＇ s actively managed open-type stock fund companies （Equal-Weight and Value-Weight）, then it draws three con- clusions： first, China＇s fund companies generally have no abilities to surpass the market. It is found through regression by time division that the fund companies would change their investment styles a- long with the changes Of market trends, but the performance index a remains to be O; second, there is no relation between the size of fund companies and the performance of fund companies; third, the actual investment styles of the fund companies tend to become similar, although each declares having different investment style.

关 键 词：开放式股票型基金 基金公司总体绩效 三因子模型 投资风格 

分 类 号：F830.91[经济管理—金融学]