我国证券投资基金总体绩效的实证分析——基于总业绩评价理论

本文基于2007—2010年间数据,对我国开放式证券投资基金中的股票型基金、混合型基金和债券型基金的总体绩效进行了比较实证分析。研究发现:各股票基金的业绩表现极不均衡,基金经理的选股能力参差不齐,但选股能力或者择时能力有了明显的提高;各混合型基金的绩效分布都较为接近正态分布;我国债券型基金的业绩表现基本稳定,并没有随着股票市场的大起大落而表现出明显的好与差,其风险收益均大于与市场同风险的投资组合的风险收益,但是这种优势并不太明显。

An Empirical Study on China Mutual Funds Based on the Theory of Overall Performance Evaluation

The paper compares and analyzes the overall performance of open-end securities mutual funds in China,including equity funds,balanced funds,and fixed income funds,based on the data between 2007 and 2010.The results show that:(1) the performances of different equity funds are extremely uneven.The selection ability of equity fund managers varies,but their stock picking ability or market timing ability has been significantly improved.(2) The performances of balanced funds are close to the normal distribution. During the bull market,balanced funds perform worse than portfolios with the same risk ratio in the market.However,they show good defensive characteristics during the bear market like 2008 and perform significantly better than equity funds.(3) The performances of fixed income funds in China are basically stable.They displayed no obvious correlation with the huge fluctuation of the stock market,and their risk returns are marginally greater than those of portfolios with the same market risk ratio.