利率下调后证券投资基金绩效的实证分析

Empirical Analysis of Securities Investment Fund Performance in the Event that Interest Rates Come Down

2008年以来,央行的一系列降息给证券投资基金市场带来不可忽视的影响。这时候基金经理的经验与能力就显得尤为重要了。本文从利率下调的角度出发,利用Jensen指数评估模型和Treynor-Mazuy模型对中国成立最早和经济稳定时期成立的共二十只开放式基金,从利率开始下调的2008年1月1日到2009年3月31日进行绩效评估。经过实证研究及分析对比得出利率下调对基金折股和择时能力有较强影响,以及不同时期的基金应对经济波动的局势时都有一定的应对能力,但总体并不乐观。

From 2008, the impact is not be ignored which is from a series policy of cutting interest rates of The People's Bank of China to the securities investment funds market. At this time the experience and ability of fund managers are particularly important. From the point of view the reduction in interest rates, this paper will assess the Performance of the twenty open-end funds between 1 January, 2008 and 31 March, 2009 which were established the earliest in China and the period of economic stability. Besides, it makes use of the Jensen index assessment model and Treynor-Mazuy Model .After study and comparative analysis find have a stronger impact to stock selectivity and market selectivity in reduce the interestrate, as well as the different funds have a certain ability to deal with the situation in economic fluctuations, but on the whole, is not optimistic.