共查询到17条相似文献,搜索用时 187 毫秒
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有效市场假说已受到越来越多的现实挑战,文章在分析我国股市风格呈分形特征的基础上,把分形市场理论探索性地引入到基金投资风格领域,提出了基于分形维数的投资风格识别方法,并以我国79只开放式股票型基金为样本进行实证研究。结果表明:该方法能较好对基金投资风格进行准确性识别,大部分基金具有风格错配现象,比现有的两种主流风格识别方法更符合目前分形市场的现实背景,为基金经理与投资者提供了一种更加贴近现实市场的投资风格识别方法,使识别效果更加准确客观;并借鉴基尼系数的思想构建了风格一致性指标(CIS)来量化投资风格漂移程度,结果发现78.5%的基金发生了一定程度的风格漂移现象,风格一致性与风格漂移较严重的基金较少,这与证券市场非完全有效呈分形特征有关。 相似文献
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本文运用GARCH模型对开放式基金及其业绩比较基准指数的波动性进行比较分析。研究表明开放式基金收益率的备件方差受近期的收益偏差影响要明显地大于业绩比较基准指数。而受历史业绩波动性的影响程度比业绩比较基准指数要小一些。这说明我国开放式基金的业绩波动除了受市场因素影响之外.还有来自投资者的短期非理性投资行为的压力。 相似文献
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本文运用GARCH模型对开放式基金及其业绩比较基准指教的波动性进行比较分析,研究表明开放式基金收益率的条件方差受近期的收益偏差影响要明显地大于业绩比较基准指数,而受历史业绩波动性的影响程度比业绩比较基准指数要小一些。这说明我国开放式基金的业绩波动除了受市场因素影响之外,还有来自投资者的短期非理性投资行为的压力。 相似文献
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企业年金指数是衡量企业年金投资市场收益水平及其变动趋势的基准尺度,反映在可供中国企业年金基金投资的货币类市场、权益类市场和固定收益类市场之间进行不同资产配置的市场表现,为中国企业年金基金提供投资业绩衡量基准,为评价企业年金投资机构和投资组合业绩提供科学、客观、有效的评价工具。 相似文献
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目前对开放式基金的风险调整收益的研究很多,但对风格调整收益的研究确不常见。但随着基金风格的明确,对风格调整收益的研究也越来越重要。配合Sharpe模型,我们采取Lobosco方法对模型进行风格调整绩效的分析,并且与Jensen指标进行对比,得出如下结论:两个指标都证明基金经理有可能优于基准风格指数取得超额收益,但就目前实际情况来看,还是无法战胜市场。 相似文献
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我国股票型开放式基金的投资风格分析 总被引:2,自引:0,他引:2
本文首先应用Sharpe投资风格分析法对我国股票型开放式基金的实际投资风格进行了分析,并运用平移窗口的方法对基金风格的可持续性进行研究。研究结果表明,在2004年3月到2008年3月期间,大多数基金的实际投资风格与其契约风格不同,且转变风格的基金大多数为由标榜为价值型转变为成长型。从整个考察期看,基金的投资风格并不稳定,表现出随市场状况变化而漂移的特征,16支样本基金中,有11支基金在本文考察期间发生了风格转换,平均每支变换风格0.93。这期间基金通过资产配置获得的平均收益(风格收益)约占到总收益的86%,依靠基金管理人的选股能力获得的收益约占到整个收益的14%。 相似文献
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沪深300指数作为反映我国A股市场整体走势的指数,它的推出具有重大的现实意义。它不仅能反映我国证券市场股票价格变动的概貌和运行状况,更是能够作为投资业绩的评价标准,为指数化投资和指数衍生产品的创新提供基础条件。因此,对沪深300指数的相关特征的研究就显得尤为必要与紧迫。本文即是在对沪深300指数的分形特征展开研究的基础上对该指数的长记忆性及其周期进行了初试的探索,得出沪深300指数的对数收益率序列具有约101天的系统对初始条件的平均记忆长度。 相似文献
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本文采用基于强式夏普模型的SDS指标方法研究我国开放式偏股型基金中的基金经理异质性特征与基金投资风格漂移的关系.研究发现基金经理异质性特征中的社会类别异质性、信息异质性与价值异质性三个类别,包括基金经理更换、基金经理在本基金的从业时间基金经理的学历水平等代理变量对基金投资风格漂移程度存在显著的影响,股票市场上牛熊市性质和波动性对基金投资风格漂移影响显著. 相似文献
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Greig A. Mill 《Journal of Business Ethics》2006,63(2):131-148
This paper empirically examines the financial performance of a UK unit trust that was initially “conventional” and later adopted
socially responsible investment (SRI) principles (ethical investment principles). Comparison is made with three similar conventional
funds whose investment objectives remained unchanged. Analysis techniques employed in previous studies find similar results:
mean risk-adjusted performance is unchanged by the switch to SRI, with no evidence of over-or under-performance relative to
the benchmark market index by any of the four funds. More interestingly, changes in variability of returns over time are also
modelled using generalised autoregressive conditional heteroscedasticity models, not previously applied to SRI funds so far
as is known. Results show a temporary increase in variability of returns, followed by a return to previous levels after around
4 years. Evidence shows the increased variability to be associated with the adoption of SRI rather than with a change in fund
management. Possible explanations for the subsequent reduction in variability include the spread of corporate social responsibility
activities by firms and learning by fund managers. In addition to reporting on a previously unobserved phenomenon, this paper
raises questions for further research. 相似文献
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We propose in this article a novel ability parity model for optimal fund allocation. Compared with the traditional portfolio selection methods which directly work on asset returns and/or risk (volatility), the proposed ability parity method focuses mainly on the allocation between the stock selection ability and market timing ability of fund managers, which essentially determines fund performance (Fama, 1972). Using the data of China's mutual fund markets, we find strong and robust evidence that the proposed ability parity model delivers significantly higher return, skewness, and Sharpe ratio than traditional models and the benchmark index, while having volatilities comparable with traditional models. 相似文献
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Drawing together the areas of behavioral finance and positive psychology, the present research sought to investigate whether the psychological capital of investment fund managers is associated with fund performance in a context of financial instability. The theoretical propositions were presented and evaluated empirically through primary data on investment fund manager profiles and secondary data on the cumulative stock fund returns. The results indicate that funds managed by managers with greater resilience and optimism obtained a higher return than the mean profitability in a period of market instability. 相似文献
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For more than 1500 private equity funds in China over the period from 1992 to 2013, we construct fund level performance metrics with investment level return data and examine performance and capital flows. The median (mean) fund IRR, net of fees, is 9.0% (51.7%), based on a sample that controls for survivorship bias. Fund IRRs are neither related to fund own characteristics, such as fund size, nor to overall market conditions around the time when the fund is raised. Competition reduces fund performance: returns are lower when there are many competitors entering the industry at the same time. Although experienced partnerships are more likely to raise a follow-on fund and to raise more capital, fund performance is not related to general partnership (GP) investment experience. Further, there is no performance persistence across funds managed by the same GP. Lastly, there is some evidence of investor maturity when judged on GPs' historical performance. This evidence characterizes a burgeoning yet immature PE industry in China. 相似文献
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Cathline Augustiani Lorenzo Casavecchia Jack Gray 《International Review of Finance》2015,15(3):427-455
In this study, we examine the effect of mutual fund connections, through managerial sharing, on performance and stock holding commonalities. Our analysis of return correlations and portfolio holdings indicates that more interconnected funds tend to buy and sell similar stocks, hence increasing the similarity of portfolio holdings and undermining the distinctiveness of their investment strategy. Our results also indicate that highly connected funds significantly underperform weakly connected funds by about 1.4% on a yearly risk‐adjusted basis. We show that fund family performance is unaffected by the intensity of fund connections, and that greater fund connections could significantly enhance family‐level profit margins. 相似文献