基金风格择时能力对基金绩效的影响

Effect of fund style timing ability on fund performance

使用改进的TM模型,选取153只开放式基金的日数据,从市场层面、规模层面、价值层面分析基金经理的风格择时能力,采用典型相关性分析风格择时能力与基金绩效的关系。结果显示,牛市风格择时能力与基金绩效呈中度相关,对绩效影响从大到小依次为规模择时、价值择时和市场择时。在熊市风格择时能力与基金绩效呈中度相关,对绩效影响程度依次为市场择时、规模择时和价值择时。

With improved TM model,the data from153open funds are selected to analyze the style timing ability of fund managers from aspects of market level,scale,and value.Correlation analysis is used to analyze the relationship between style timing ability and fund performance.The results indicate that the style timing ability in bull market is moderately correlated with fund performance where the influential order from large to small on fund performance is scale timing,value timing and market timing.While in bear market the order is market timing,scale timing and value timing.