基金表现评价研究_-一个条件双因子评价模型的构建与实证

A Study of Funds Performance Evaluation Based on a Conditional Two-Factor Measure Model

出色的证券投资基金管理人不但具有股票选择的微观能力,而且还具有市场时机把握的宏观能力。目前关于基金表现评价的模型是仅以股票指数超额收益率为评价基准的单因子模型,而实际上,基金管理人可以在股票、债券以及现金存款之间进行投资选择。基于此,本文构建了条件双因子评价模型,并且以中国全部54只封闭式基金为样本采用面板数据回归技巧验证了该模型的有效性。实证结果是条件双因子评价模型不仅解释能力高而且有效地减少了负向市场时机把握能力的偏差,中国基金不但具有选股能力而且具有现金存款的时机把握能力。

The excellent funds managers not only have the micro - ability to stock selecting but also have the macro - ability to market timing. The existing models of funds performance evaluation are the single factor model in which benchmark is the excess return of stock index. In fact, funds managers have selecting right among stocks and bond and cash. This paper builds a conditional two - factor measure model,and proves the efficiency of this model using panel data regression skill. The samples are 54 Chinese close - end funds. The conclusion is that the conditional two - factor measure model not only has higher fitness butt also decreases the minus bias of market timing. In addition, Chinese funds managers have the micro - ability to stock selecting and the macro - ability to market timing.