基金的主动性管理提升了业绩吗？

Does Active Management Improve Mutual Fund's Performance?

基金经理能否通过主动性管理提升业绩,这是实务界和理论界共同关注的一个重要问题。本文利用开放式基金2005～2009年的数据进行研究发现:将容易获得的跟踪误差和R^2综合为复合主动性指标(Composite Active Index,CAI),可以作为主动性管理能力的测量指标;在我国使用包括了完整的上升和下降阶段的时间段(两年)作为测量主动性的估计期是恰当的;主动性确实能够作为基金未来业绩的预测指标,即基金经理通过主动性管理显著地提升了基金业绩。

Does active management improve mutual fund＇s performance？ It is an important question for both the- oretical and industry participants. Based on the historical data of the Chinese open-ended fund from 2005 to 2009, this paper found that： a composite active index （CAI） can be constructed basing on tracking error and R-square which can be easily calculated from available open information; while estimating the active index, a complete period which consists of both increasing and decreasing stage should be used and it is generally two years in China; active management index is really a predictor of future performance, that is, the fund managers do improve the performance via actively managing their funds.