我国证券投资基金业绩评价及择时能力研究

An Empirical Research on Performance Evaluation and Market Timing Abilities of Security Investment Funds in China

通过基金业绩评级指标对651支基金的业绩表现进行评价,通过夏普指数、詹森指数、特雷诺指数等指标测度基金业绩,发现中国市场的大部分基金业绩表现优于市场基准表现;而通过T-M和H-M模型检验推断基金经理表现出较强的择股能力,但择时能力表现较差。

After analyzing and evaluating managers＇ securities selection and market timing abilities using T-M model,H-M model with Stata,this paper finds that Chinese managers demonstrate relatively strong securities selection abilities,but are lacking in market timing abilities.Eight funds are selected as they consistently outperform above the three indexes.Most of them show significantly good securities selection abilities both in T-M model and H-M model.In terms of market timing abilities,seven out of the eight funds in H-M model display negative coefficients,which indicate poor market timing abilities.