证券投资基金战胜市场的能力之实证研究——基于Fama-French模拟的检验  

Can Mutual Funds Beat the Market:An Analysis Based on Fama-French Simulation

作　　者：廖海波[1] 

机构地区：[1]宜宾学院经济与管理学院,四川宜宾644007

出　　处：《宜宾学院学报》2015年第3期79-83,共5页Journal of Yibin University

摘　　要：运用Fama-French模拟来区分运气和投资管理技能,对我国有5年以上收益率数据记录的积极管理型基金的业绩进行评价分析,结果发现:部分基金的超常业绩不能用运气解释,而应该归因于经理的技能,即有部分基金经理确实具有可以战胜市场、获得超额收益的投资管理能力。This paper applies a new bootstrap statistical technique introduced by Fama and French to exam -ine the performance of the Chinese open-end, domestic equity mutual fund industry with 3-factor alpha as the measure of performance .The result shows that half of the funds which have history of more than 5 years of yield data recording expected returns more than sufficient to cover their costs and there is evidence of superi -or performance （ non-zero true alpha ） come from manager ’ s skill rather than luck .

关 键 词：基金 业绩 Fama-French模拟 运气 

分 类 号：F832.5[经济管理—金融学]