基金业绩的计算方法、时间长度及投资者选择

Calculation Method,Time Length and Investor Selection of Fund Performance

通过对比分析采用不同方法、在不同时间长度内计算的基金业绩与资金流量之间关系,研究投资者对基金业绩评价方法和时间长度的选择。研究发现,在以原始收益率以及CAPM、Fama-French模型和Fama-French-Carhart模型计算的各种基金业绩中,原始收益率能够更好地解释基金资金流量的变动。这表明投资者在面对不同方法计算的基金业绩时,总是选择基金原始收益率作为决策的基础。进一步研究发现,当面对在不同时间长度内计算的原始收益率时,投资者总是选择期限为3个月、1年和3年的原始收益率作为决策的基础。运用上述研究结论重新考察国内基金市场,发现国内基金市场存在“明星效应”,但并不存在“赎回异象”。

By comparing and analyzing the relationship between fund performance and capital flow calculated by different methods and different time lengths,this study explores the investors’choice of fund performance evaluation methods and time lengths.It is found that among the various fund performances calculated by the original rate of return,CAPM,Fama-French model and Fama-French-Carhart model,the original rate of return can better explain the changes of fund capital flow,which shows that investors always choose the original rate of return of the fund as their basis of decision-making when faced with the fund performances calculated by different methods.Further research shows that investors always choose the original rate of return with a period of 3 months,1 year and 3 years as their basis of decision-making when faced with the original rate of return calculated in different time lengths.The above research conclusions are applied to re-examine the domestic fund market,and it is found that there exists a“star effect”in the domestic fund market while there is no“redemption anomaly”.