中国开放式基金业绩持续性研究

分别采用七类业绩评价基准及三类基金业绩持续性检验方法,对中国偏股型开放式基金的短期及中期业绩持续性进行了检验分析,并利用多元logit回归模型,对基金业绩持续性的影响因素进行了检验分析。研究结果表明,中国开放式基金在半年间业绩存在着比较显著的持续性,但季度间业绩持续性不显著。同时,业绩评价基准及业绩持续性检验方法的不同对检验结果有较大影响,但前者对业绩持续性检验结果的影响大于后者。相对于其他因素,基金的选股及选时能力对业绩持续性的影响最为显著。

The Empirical Study on the Performance Persistence of Mutul Funds in China

Using 7 kinds performance valuation indexs and 3 kinds performance persistence detecting methods,this paper examines the mutul funds’ short and medium term performance persistence in China,at the same time,using multiple logit regression model,analyzes the performance persistence’ influence factors.Research results show that mutul funds’s performance persistence is significant in half year,but it is not significant in quarterly.We find that performance valuation indexs and persistence detecting methods have considerably influence to detecting results,and former’s influence is great than latter’s.Comparing to other factors,mutul funds’ selection ability and timing ability also have significant influence to performance persistence.