不同目标类型的开放式基金收益率特征分析

An Empirical Analysis of Returns Characteristic of the Objects-vary Open-end Funds in China

本文利用传统的单指数模型和ARCH模型 ,分析了开放式基金的收益率的统计特征、ARCH效应及与股价指数的关系。实证结果表示开放式基金的收益率基本具备GARCH(1,1)特征 ,与股价指数有较强的相关性 ,但不同目标的开放式基金与股指的关系有所差异 ,说明基金管理公司在选择投资组合上与基金目标较为一致。有超过一半的样本基金的平均收益率低于同期股指收益率 ,盈利能力不甚理想。

By using the traditional single-index model and ARCH model, the paper analyzes the returns characteristic, ARCH effects and the relationship with stock indexes of the objects-vary open-end funds in China. It shows that the GARCH(1,1) model is approximately fit for returns of open-end funds, and there is a strong correlation between returns of open-end funds and the stock indexes. But there are difference to the relationships between objects-vary funds and stock indexes, and it is proved that fund companies share the same object to choose portfolios according to its objects. More than half of the sample funds are not good at earning abilities because the average return is below the corresponding return levels of stock indexes in china.