我国开放式基金业绩评价的实证分析

本文在借助国内外相关研究成果的基础上，运用收益率指标、风险指标、三大单因素整体业绩指数（Jensen指数、Treynor指数、Sharpe指数）以及考察基金择时能力的T-M模型，对我国2004年12月31日之前成立的13只股票型的开放式基金的业绩表现进行了全面的实证分析。结果表明，总体上我国开放式基金的收益率高于市场基准组合的收益率，经风险调整后，开放式基金的收益率高于市场基准组合的收益率。不同基金经过风险调整后在不同指标下有较大的差异。同时，我国开放式基金没有表现出显著的选股能力以及昴菩的任向柽时能力．

An Empirical Study on Performance of the Open- ended Funds in China

On the achievement basis from the home and abroad,this article uses authoritative indexes as Jenson index,Treynor index,Sharp index and manager's investments managerial ability of T-M model and so on,to analyze stock open-ended fund.It selects 13 funds which were found before Dec31,2004 by empirical analysis.The substantial evidence results shows open-ended fund's performance level surpasses the market basic combination whether after risk adjustment or not.The comparison of different funds has a lot of differences under different index after risk adjusting.In the meantime,fund managers have some but not good choosing market stock and bad choosing market time ability.