基金经理的运气是否比能力更重要?

Is luck more important than the fund managers ability?

区别于传统的基金经理能力的评价方法,首次采用随机最优前沿模型(stochastic frontier model)的思想,将基金的收益分解为三方面因素的共同作用:市场收益水平,基金经理的能力,以及基金经理的运气,以分析基金经理的能力与运气在不同管理时限内对基金收益的贡献水平.通过对中国基金市场的17支开放式股票型基金在2005年6月1日至2008年10月14日的日度数据进行分析,实证结果表明:相对于牛市,经理的能力在熊市中会发挥更大的作用并在更短的时间内,即3个月左右,成为基金收益的主导因素.同时,随着基金管理时间的增长,经理能力的贡献越来越显著.首次从基金业绩中分解出运气和基金管理能力各自的贡献,为认识基金经理的表现提供了一个新的视角和维度.

This paper firstly uses the method of stochastic frontier model which is quite different with the traditionM methods in evaluating fund managers professional ability. We divide funds yield performance into three leading factors： benchmark yield, fund manager＇s ability, and their luck. We use the daily data of 17 open-ended mutual funds from 2005.6.1 to 2008.10.14, and mark 2007.10.17 as the turning point of bull market with bear market. The results show that, in bear market, fund managers abilities contribute more to their performance than in bull market; and generally, their abilities get more and more effective than their luck as time goes on. This research originally separates luck and managers abilities from funds performance, so as to offer a new point of view to evaluate the fund manager＇s performance.