我国股票型开放式基金绩效评价的实证研究——基于单因素评价模型的视角

A Performance Evaluation of China’s Stocks Open-end Funds——Based on Single-factor Model Perspective

通过借鉴国外成熟的基金投资绩效的单因素评价模型,以731个交易日高频数据,对我国近三年来的35只股票型证券投资基金经风险调整后的业绩进行实证研究,并与国内外实证研究结果进行比较,结果表明,经过风险调整后,我国股票型开放式基金的业绩优于市场组合。

By referring to the foreign mature single-factor evaluation models of fund investment performance, the author undertook empirical studies on performance of 35 our stock-based securities investment funds with the risk-adjusted 731 days’ high-frequency data. Through a comparison of the result that of home and abroad, the results showed, after risk-adjusted, China’s open-end funds’ performance is better than the market portfolio’s.