基金的市场时机选择检验--对基金管理人业绩的评价

市场时机选择能力是用来评估组合投资管理者对市场的判断能力,当市场前景看好时,组合投资管理者能否抓住这一时机改变其组合中的风险资产与安全资产的构成,取得较高的市场收益率;反之,组合投资的管理者能否采用相反的方法来达到规避风险的目的.基金的投资是一种典型的组合投资,它常常是类似于市场组合的投资,因而,基金管理者能否捕获到市场机会可以作为衡量其业绩的一个重要指标.本文通过修正之后的市场时机选择模型来检验我国证券市场中的14只新基金自1999年6月以来的市场表现,并对基金的市场表现进行理论与现实的分析.

A Test for Market Timing of Funds--Performance Assessment of Fund Managers

A fund manager's judgment of the market is assesse d by his market timing ability. When the market looks promising, he is supposed to be able to seize the opportunity to modify the portion of risk assets and saf e assets so that better returns can be gained. In other cases, the fund manager is supposed to be able to avoid risks through opposite approaches. Fund investme nt is a typical portfolio investment and is often similar to portfolio market in vestment. Therefore, whether a fund manager can seize the opportunity in the mar ket is an important indication of his performance. Using the modified models of market timing, this paper makes a theoretical and concrete analysis of the performance of 14 new funds since June 1996.