多期基金业绩持续性评价新模型及实证研究

A new model on the performance persistence evaluation of mutual funds

构建了基于回归分析的多期基金业绩持续性评价新模型,用于评价单只基金的业绩持续性,利用该模型对中国证券投资基金业绩持续性进行了实证研究.结果表明:基金的业绩不存在持续性;在短期内,基金业绩往往具有反转性;不同的基金超额业绩的计算方法对评价结果的影响很大.

This paper found a new model on the performance evalation persistence of mutual funds based on the regression method, which is used to evaluate the performance persistence of single fund. Then the author does some empirical analysis on the performance persistence of Chinese mutual funds with the new model. The results show that the performance persistence of Chinese mutual funds doesn＇ t exist ; the fund return reversal really exist in a short period; the different calculation ways of excess performance often result in the different evaluation results.