我国封闭式基金的业绩和驱动因素研究

以基金的平均周收益率、詹森指数、特雷诺指数、夏普指数以及基金的选股能力、择时能力、抗跌能力为基础研究了54只封闭式基金的业绩排名,发现平均周收益率高的基金经过风险调整后的回报率仍然很高,这说明能够在一定程度上控制风险的基金其业绩较佳;大多数平均周收益率高的基金其收益突出是因为其选股能力突出,而这些选股能力突出的基金中大部分的基金抗跌能力也很强;少数平均用收益率高的基金其收益突出是因为其择时能力突出,但这部分择时能力强的基金却未表现出强的抗跌能力.根据这些指标提出了基金的诊断式评级,以为投资者和监管机构提供更多的信息.

A Study of China's Closed-end-fund Performance and Its Driving Factors

Based on the average weekly return of funds,Jensen index,Treynor index,Sharp index,portfolio selectivity ability,market timing ability and anti-drop ability,this paper has studied the performance rank of 54 closed-end funds and discovered that those funds with high average weekly return are still high with the risk-adjusted return,showing that the funds,able to control risks to some degree,have better performance.Most of the funds with high weekly return result from their excellent portfolio selectivity and...