基于FDR控制的基金绩效评价被引量：6

Fund performance evaluation based on the FDR control

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摘要基于2002-2013年我国主动管理型开放式基金的日收益率数据,采用FDR(false discovery rate)方法从风格择时、投资目标、基金特征、绩效持续性四个层面系统分析了运气因素对基金绩效的影响,主要结论包括:运气对基金绩效的影响是不对称的,业绩好的基金受运气的影响要大于业绩差的基金;在剔除运气因素后,少数业绩好的基金具备真正的择股能力,大多数基金在扣除管理与交易等费用后都无法取得超额收益;风格择时对基金的真实绩效有较大影响,意味着投资者依据过去绩效选择基金时要兼顾基金的择时表现;根据投资目标以及基金特征对真实绩效的差异化影响,投资者能更有效地选择出真正有能力的明星基金;通过FDR控制的基金绩效是不可持续的. Based on the daily return data of Chinese actively managed open-ended funds during the period 2002 2013. this paper adopts the false discovery rate （FDR） to examine the impact of luck on fired performance from the dimensions of style timing, investment objectives, fund characteristics, and performance persistence. The main conclusions include： The luck has an asymmetric effect on fund performance, namely, the effect of luck on good funds is greater than that on bad funds; Few good funds cxhibi! gemfinc stock-picking skill after the adjustment of luck, while most funds can not obtain abnormal returns with management fee, trade cost, and other expenses being deducted; Style timing has a significant effect on true performance, which means that investors should consider fund timing behavior when they use past perIbrumnce to choose funds; According to the differentiated effects of investment objectives and fired characteristics on true performance, investors can efficiently choose the truly skilled star funds; Pund performance controlled by the FDR is not persistent.

作者易力胡振华

机构地区中南大学商学院

出处《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2016年第4期846-856,共11页 Systems Engineering-Theory & Practice

关键词基金绩效 FDR 运气能力风格择时 fired performance FDR luck ability style tinting

分类号 F830 [经济管理—金融学]

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