我国QDII基金经理的选股择时能力研究

本文选取2009年前成立的8只QDII基金为研究样本,以2009年和2010年的周度数据为基础,采用TM和CL模型对QDII基金经理的选股能力和择时能力进行实证分析。实证结果表明,我国QDII基金经理的选股择时能力不具有持续性。2009年有较强的选股能力和择时能力,2010年有一定的选股能力,但是缺乏择时能力。进一步分析,QDII基金经理的选股择时能力的显著性都不强。

Study On The Stock Selectivity And Market Timing Of Chinese QDII Fund Managers

With a sample of eight QDII funds weekly data in the year of 2009 and 2010 founded before 2009, this paper analyz- es the manager’s skills of selectivity and market timing using the TM and the CL models. Empirical study shows that QDII fund managers have unsustainable skills of selectivity and market timing. They have relative good performance in 2009, but no persistence in the skill of market timing in 2010. Furthermore, their skills are not statistically significant.