历史业绩能否作为判断基金投资价值的合理指标——来自中国开放式股票型基金的实证检验  

Whether the Past Performance Can be a Good Indicator for the Judgment of the Fund's Investment Value

作　　者：马松[1] 潘珊[2] 

机构地区：[1]中共成都市委政策研究室经济处,四川成都610093 [2]北京大学光华管理学院,北京100871

出　　处：《财会通讯（下）》2014年第9期112-115,共4页Communication of Finance and Accounting

摘　　要：本文以我国2004年7月前已发行的开放式股票型基金为研究对象,使用总收益、选择收益和信息比率指标来衡量基金的业绩表现,在不同的样本期和观察期下对基金业绩的持续性进行检验。结果发现:无论考虑管理费和托管费与否,基金业绩在第二期均表现出随机分布的特征,亦即无法用基金第一期的业绩表现来预测其第二期的业绩表现。改变观察期或使用Carhart(1997)的方法,均得到类似结论。This paper chooses Open-end equity funds in China which were issued before July 2004 to measure the performance of funds in terms of total return.risk-adjusted return and information ratio,and test the persistency of the fund performance with different sample periods and observational periods.According to the result of the empirical analysis.whether in regard to management fees and hosting fees or not.the funds' performance always exhibit the characteristics of random distribution in the second period.that is we cannot use the performance in the first period to predict that in the next period.We can get similar results when changing the observational periods or applying the metheds of Carhart(1997).

关 键 词：基金业绩 持续性 总收益 选择收益 信息比率 

分 类 号：F224[经济管理—国民经济] F832.51