我国证券投资基金业绩归因分析的实证研究

An Empirical Analysis on Performance Attribution of China Investment Funds

本文运用Brinson模型对我国证券投资基金在2000-2003年之间的业绩进行了归因分析。实证结果显示,在2000-2002年,基金超额收益的来源中,时机选择能力和证券选择能力两种能力的表现不稳定,四年累计来看,基金通过较强的证券选择能力获得了超额收益。

This article applied the attribution model of Brinson to analyze the performances of China investment funds through 2000-2003. The empirical result shows that the two abilities of market timing and security selection were unsteady from 2000 to 2002. But when considering the accumulative result of the 4 years, the funds obtain abnormal yield through the ability of security selection.