封闭式证券投资基金业绩实证分析

依据资本市场理论通过对事后证券组合特征曲线的回归分析及基金与大盘的相关性分析 ,对我国目前的契约型基金进行了实证研究 ,结果表明 :经过风险调整 ,所有样本基金并未获得超出市场平均水平的超额收益率 ,同时 ,没有证据支持我国的基金经理具有市场定时能力。另外 ,由于我国的证券市场创办时间短、不成熟 ,对基金的收益分析还必须考虑我国的某些不规范因素

Positive Analysis of Close-end Investment Funds

The thesis applies security portfolio theory to make a positive research into domestic contractual funds, using the regression analysis of portfolio characteristic curve, the analysis of the correlation between fund and market. The statistic data shows that,if the risk is taken into consideration, all sample funds cannot have extra-return rate above the market.At the same time, it's not proved that the fund managers have the capacity of market timing. Additionally, the irregular situation should be taken into account in view of immaturity of security market in China.