我国开放式基金动态资产配置能力研究——基于H—M模型及其扩展的检验

A Study on Dynamic Asset Allocation Ability of Open-end Mutual Funds——Based on Testing H—M Medel and its Extended Models

基金的动态资产配置能力是以正确地预测市场走势为前提的,以市场时机把握能力为代理变量是考察基金动态资产配置能力的一个重要角度。H—M模型在检验市场时机把握能力中应用最广,同时又有多种克服H—M模型不足的扩展模型,如考虑市场组合的选择误差和遗漏变量,或者加入代表市场有效性的变量。应用最初的H—M模型及其扩展对我国83支开放式基金的业绩进行的检验结果表明,我国开放式基金普遍缺乏动态资产配置能力。

The dynamic asset allocation ability of mutual funds is based on correctly forecasting the general movements of stock markets,therefore,it is an important perspective to evaluate the dynamic asset allocation ability of mutual funds by taking use of market timing ability as a proxy variable. While the H—M model is the most frequently used method of testing market timing ability,there are many extended models proposed to overcome the inadequacies of the H—M model such as considering the misspecification of the market portfolio and the omission of relevant factors in the return—generating process,or adding a new variable to represent the efficiency of the stock market. With the H—M model and its two extensions,an investigation carried on a sample of 83 open-end mutual funds in China finds that these funds generally do not have the dynamic asset allocation ability.