摘要
运用DEA方法对基金业绩进行评价,对24只开放式基金和54只封闭式基金在2004年和2005年的相对业绩进行了比较分析.研究发现,多数基金处于无效状态,基金业绩不存在明显的业绩持续性和规模效应,但投资风格和业绩之间具有一定的相关性.封闭式基金的运营效率低于开放式基金,规模中等的基金大部分时间平均效率最高.债券型基金的效率值高于股票型和混合型,平均效率值都接近1.研究还发现,投资基金的相对业绩与证券市场的走势密切相关.通过对规模报酬状态的分析发现,一多半开放式基金都处于规模报酬递减阶段,而封闭式基金绝大多数都处在规模报酬递增阶段.这些结论对我国基金业的发展和投资者选择基金有良好的启示.
This paper examines 24 mutual funds＇ and 54 closed-end funds＇ comparative efficiency in the year 2004 and 2005. The results indicate that, most funds were inefficient. There didn＇ t exist extinct performance persistence and scale effect in funds＇ operation. Whereas, some relationship between investment style and performance was observed. Closed-end funds＇ efficiency is lower than mutual funds＇ as well as medium funds＇ efficiency is the higher the other two groups. In most time, bond-oriented funds are more efficient than stock-oriented funds and mixed funds. It＇s indicated that the comparative efficiency has a close relationship with equity market. Besides, most mutual funds are return decreasing to scale, and most closed-end funds are return increasing to scale.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2007年第3期1-11,共11页
Systems Engineering-Theory & Practice
基金
国家自然科学基金委员会优秀创新研究群体基金(70221001)
