基于bootstrap分析方法的我国基金经理选股能力研究

Analysis on Stockpicking Skills of Mutual Fund Managers Based on Bootstrap Approach

如何更为准确地度量共同基金的选股能力关系到基金投资者切身利益,常用的统计检验方法都有正态分布的假设,而我国共同基金的各种特征导致基金收益无法满足正态分布的假设,因此采用bootstrap分析方法研究开放式股票型基金的选股能力。结果表明,我国至少有10%的基金具有良好的选股能力,同时有一半以上的基金不具备选股能力,不能为基金份额持有人带来超额回报。具有选股能力的基金其投资组合中的股票具有明显的大市值、高账面市值比和高业绩动量特征。同时发现外资参股可以使基金整体业绩表现更为稳定。boostrap分析方法适用于金融研究的各个领域,该方法对研究数据的分布形态没有要求,同时可以消除随机性导致的结果误差。

How to measure the mutual fund stockpicking skills more accurately is closely related with investor inter- ests. The commonly used statistical methods demand the normal distribution, but mutual funds have alphas that are drawn from a distinctly non-normal distribution. This paper employs the bootstrap approach to test the significance of the alphas .Our findings indicate that the performance of top 10% mutual fund is not solely due to luck,at the same time,more than half mutual funds underperform the benchmark. We also uncover that the stock which held by the top 10% mutual fund have the big size, high book-to-market value and high momentum characteristics. Foreign ownership can stabilize the estimated alphas. The bootstrap approach also useful in addressing other questions in finance, the advantages of this ap- proach include eliminating the need to specify the exact shape of the distribution and to control the error from heterogene-