主动管理型开放式基金绩效及其持仓系统性风险研究  

A Study of the Performance of Actively Managed Open-Ended Fund and the Systematic Risks of Position

作　　者：孙秉文[1] 林海[1] 

机构地区：[1]江西财经大学金融发展与风险防范研究中心/金融管理国际研究院,江西南昌330013

出　　处：《当代财经》2017年第5期57-68,共12页Contemporary Finance and Economics

基　　金：国家自然科学基金项目"会计信息披露质量;股价延迟反应与流动性风险"(71463018);国家自然科学基金项目"我国开放式基金绩效指标的操纵和投资者反应研究"(71303098)

摘　　要：基于多维视角对我国证券投资基金进行评价具有重要的理论意义和现实意义。从基金收益、基金持股与基金交易三个维度,采用六因子模型并区分不同的市场状态,对我国主动管理型开放式股票型及混合型基金绩效及其交易能力进行综合评价,发现我国主动管理型开放式股票型基金能产生风险调整后收益,而混合型基金调整股票持仓水平的弹性则有助于基金经理发挥择时能力。应用六因子模型检验我国主动管理型开放式基金绩效的研究结果,能给需要分散风险的投资者提供一定的参考。It is of great theoretical and practical significance to conduct an evaluation of China’s securities investment funds from a multi-dimension perspective.This paper adopts the six-factor model under different market conditions to perform a comprehensive evaluation of the performance of China’s actively managed open-ended stock-type fund and the mixed type fund as well as the trading capacity from the three dimensions,i.e.,fund returns,fund holdings and fund transactions.The findings show that China’s actively managed open-ended stock-type funds can yield earnings after risk adjustment,while the elasticity of the mixed-type fund in adjusting stock positions can help fund managers demonstrate their market timing abilities.The research findings from applying the six-factor model to examine the performance of China’s actively managed open-ended fund can provide some useful references to the investors who need risk diversifications.

关 键 词：开放式基金 基金持仓 绩效评价 因子模型 

分 类 号：F830.91[经济管理—金融学]