对我国基金业绩评价的再考察——能力还是运气?  

Re-evaluation on the Performance of Mutual Fund in China:Ability or Luck?

作　　者：王建秀[1] 李晓燕 杨海生[2] 江颖臻 WANG Jian-xiu;LI Xiao-yan;YANG Hai-sheng;JIANG Ying-zhen(School of Management and Engineering,Shanxi University of Finance&Economics,Taiyuan 030006,China;College of Lingnan,Sun Yat—Sen University,Guangzhou 510275,China;School of Business,The University of Hong Kong,Hong Kong 999077,China)

机构地区：[1]山西财经大学管理科学与工程学院,山西太原030006 [2]中山大学岭南学院,广东广州510275 [3]香港大学经济与工商管理学院,香港999077

出　　处：《经济问题》2021年第2期61-70,共10页On Economic Problems

基　　金：广东省自然科学基金项目“粤港澳大湾区系统性金融风险测度、传染与防范研究”(2019A1515012018);广东省软科学项目“粤港澳大湾区系统性金融风险联防联控的技术防范研究”(2019A01002015)。

摘　　要：基于基金业绩评价指标超额收益率alpha中的能力和运气因素,分析了Kosowski和Fama&French两种方法的差异、产生原因和后果,提出了抽样方法选择时序最优区块、截面家族区块的改进bootstrap方法。采用2001年10月至2018年12月中国开放式基金的日度数据,考察了Kosowski、Fama&French和改进bootstrap方法对基金业绩中能力和运气因素的影响。结果表明,以净回报率为收益指标、以配对y-x为抽样对象,采取时序最优分块和截面家族分块的抽样方法,能更为严谨地甄别基金业绩中的能力因素。无论以何种方法评价,我国至少排名前20%的基金具有能力,至少排名后5%的基金是缺乏能力的。结合历史股票市场情况,考察了基金绩效的时序特征,为完善基金绩效评估和管理体系提供参考。Based on the ability and luck factors in the fund performance evaluation index(the excess return rate alpha),the differences,causes and consequences of the two methods of Kosowski and Fama&French are analyzed,and improved Bootstrap method by the optimal block in time series is and the cross-sectional family block is proposed.Using daily data from China’s open-end funds from October 2001 to December 2018,we examine the impact of Kosowski,Fama&French,and improved Bootstrap methods on the ability and luck factors in fund performance.The results show that only when the net return rate is taken as the return index and the y-x is taken as the sample object,and the sampling method chooses the optimal time series and cross-section family blocks,can the significance of alpha in the excess return rate of funds be identified accurately and rigorously,and the ability factors in the performance of funds be evaluated.No matter how we evaluate it,at least the top 20%of the openend funds in China are competent,and at least the bottom 5%of the funds are incompetent.In the end,this paper investigates the timing characteristics of fund performance combined with the historical stock market,which can provide a reference for improving the fund performance evaluation and management system.

关 键 词：基金绩效 超额收益率alpha (择股)能力和运气识别 BOOTSTRAP方法 

分 类 号：F830[经济管理—金融学]