摘要
本文利用收益自相关系数检验方法对我国开放式基金2002￣2004年的运营情况进行了业绩持续性评估,目的在于分析过去业绩对预测未来收益是否有帮助。实证结果表明,我国开放式基金风险调整的业绩在短期和中期并没有表现出持续性,更多的表现出反转现象,但是在统计上并不显著。
The paper analyzes the persistence of the open-funds＇ rlsk-adjusted returns from 2002-20040,aim at examining whether past performance is a good predictor of future performance .The empirical study assesses persistence in performance in the short term and medium term based on Autocorrelation Coefficient Test. And finds that performance revensals or nonpersistence is more likely, though not significantly.
出处
《价值工程》
2006年第6期123-126,共4页
Value Engineering
关键词
持续性
自相关系数检验
风险调整收益
persistence
autocorrelation coefficient testing
rlsk-adjusted return
