公募基金管理是否有效?——多因素的基金能力评价

Is the management of mutual fund valid?——Ability evaluation based on multiple characteristics

本文通过构建多因素的基金管理能力评价体系研究了我国开放式主动管理股票型公募基金的管理有效性.结果表明:1)公募基金在承担较低风险情况下可获取高于股票市场组合的超额收益率;2)基于历史收益和持仓数据构建的指标能有效预测基金的未来表现;3)通过组合这些指标构建的基金管理能力评价体系,其择优基金未来表现显著优于现有基金评奖体系.这些结果表明,公募基金作为散户投资“机构化”的重要渠道,可以显著提高投资人的收益表现,且基金的管理能力可以被合理的评价体系事前甄别.本文为证明机构投资者在市场中的作用提供了新的证据和视角,提出的评价体系为帮助监管机构提高公募基金市场资金流配置有效性具有重要启示作用.

Using the data on Chinese equity funds,we investigate whether the mutual fund performance is predictable by providing an evaluation method based on multiple characteristics of funds.Our empirical evidences indicate:1)The mutual funds in China outperform the market portfolio by obtaining a higher return but taking a lower risk;2)more importantly,the performance of mutual funds could be predicted by several funds’characteristics based on historical performance and portfolio holdings which reveal management skills;and 3)the funds selected by our characteristics combination significantly outperform the ones selected by’Golden Bull Reward for Funds’.These evidences not only confirm our hypothesis,but also provide guidance for improving the efficiency of capital allocation in the mutual fund market.