基金经理择时能力测度--基于看涨期权与无风险资产组合法

Measurement of Fund Manager's Market timing Ability--Based on Call Option and Risk-free Portfolio Method

具备择时能力的基金经理往往能够通过预测市场未来走向并及时调整投资组合策略来给投资者带来较好的收益,合理恰当地对基金经理的表现加以评价能够正确引导投资者行为,促进我国基金业良好发展,因此对基金经理的择时能力加以测度是十分重要的。文章通过构建以沪深300指数为标的资产的看涨期权和无风险资产组合来模拟具有择时能力的基金经理在不同市场下的投资行为,以期对基金经理的市场择时能力进行测度。

Fund managers with the ability of market timing can often bring better returns to investors by perfect forecasting the future trend of the market and adjusting the portfolio in time.Evaluating the performance of fund managers reasonably and properly can correctly guide investors'behavior and promote the good development of China's fund industry.Therefore,it is very important to measure the timing ability of fund managers.In order to measure the market timing ability of fund managers,this paper constructs call option and risk-free portfolio with market index as the target assets to simulate the investment behavior of fund managers with market timing ability in different markets.