我国开放式基金绩效及选股和择时能力研究

近年来,开放式基金逐渐成为我国基金市场的绝对主体。开放式基金能否取得较好的绩效受到市场的普遍关注。本文选取了资金管理规模前20位的公司,并从中随机挑选1只基金,运用詹森指数、特雷诺比率、夏普指数和信息比率等单因素模型和Fama-French三因素模型对开放式基金的绩效进行分析,并使用T-M模型、H-M模型、C-L模型对基金经理人股票选股与择时能力进行分析。结果发现:第一,我国开放式基金经理的选股能力存在时变性,在上升期具备选股能力,在下跌期不具备选股能力,而无论是在上升期还是下跌期,基金经理普遍不具备择时能力。第二,在市场上升期基金经理比较注意对风险的把控,系统性风险较小,而在下跌期基金投资组合的系统性风险明显上升,基金经理冒险意愿上升,当市场出现大幅度下跌时,其不理性行为会加剧市场的波动。本文的研究结论有利于提升投资者的风险意识和理性意识、促进外部监管部门的精准监管审查,并能够激励基金经理人提高自身风险管控的能力。

The Research on the Fund Performance,Stock Picking and Market Timing Ability of the Open-end Funds in China

Open-end funds are becoming the absolute subject in China's fund market recently.The performance of open-end funds has received widespread attention.This paper selects the top 20 fund companies,and picks out one fund at random,uses the Jensen index,Treynolds ratio,Sharpe ratio,information ratio and Fama-French model to analyze the fund performance,and uses the T-M model,H-M model and C-L model to analyze the stock picking ability and market timing ability of the fund managers.The results show the stock picking ability of fund managers is time-varying.The fund managers have stock picking ability in a rising market rather than in a falling market.However,the market timing ability has no existence both in a rising market and a falling market.In a rising market,the fund managers pay more attention to risk control and reduce the systematic risk,while in a falling market,the fund managers are more willing to take risks and increase the systematic risk.The irrational behavior of fund managers aggravates the volatility of the market in a declining market.The research of this paper is conducive to protecting the risk awareness of investors,promoting the regulation of regulators,and encouraging the fund managers to improve the risk control ability.