衡量基金经理“波段操作能力”的方法  

New model to detect tendency timing ability of mutual fund managers

作　　者：魏先华[1] 朱世武[2] 梁衡义[1] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100080 [2]清华大学经济管理学院,北京100084

出　　处：《管理科学学报》2003年第6期21-27,共7页Journal of Management Sciences in China

基　　金：国家社会科学基金资助项目(02BJY132);国家自然科学基金资助项目(70273016).

摘　　要：MonteCarlo模拟表明传统检验基金经理时机选择能力模型,如Treynor Mazuy模型和Henriksson Merton模型无能为力.通过分析传统方法的缺陷,提出了检验基金经理波段时机选择能力模型.模拟显示,新模型能较好地检测基金经理的"波段操作能力".模型只需要基金净值的收益数据,就可以衡量在大盘经历比较大的转折时,基金经理能否对市场在未来一段时期内波动方向进行预测,通过购买低或高β值的资产调整其资产组合的β值,以便更好把握市场时机,得到高的收益.We present some shortcomings about the traditional models evaluating the timing ability of mutual fund managers and propose a new model to evaluate the mutual fund managers' timing ability to tendancy change. Using this model and net asset value data, we can perceive whether the mutual fund managers can predict the future moving direction of the market when it experiences a significant tendancy change. Monte Carlo simulations indicate that our model does fulfill its task while other traditional models such as Treynor_Mazuy model and Henrikson-Merton model fail. Applying our approach to empirical study of the Chinese mutual funds, we get some interesting facts about the Chinese mutual fund managers.

关 键 词：基金绩效评估 波段操作 MONTECARLO模拟 

分 类 号：G15[文化科学]