基金是否具有优势?

基金的业绩是否超过大市一直是学术界研究的热点问题。随着国内基金业的发展,国内学术界对基金的业绩评估进行了深入地探讨。但在以往的众多文献中,研究基金业绩较少采用分期样本和每周数据进行检验。本文将针对这一现状,利用2005年和2006年的基金数据,把近两年的大市分为熊市和牛市,并利用周数据对基金业绩进行评估,重点评估基金的超额收益率、选股能力和择时能力。本文所用的方法主要是国际上较为通行的Jensen's alpha模型、T-M模型和H-M模型三个模型,研究发现,基金作为一个机构投资者,其超额收益率是明显的,选股能力也是在总体、熊市和牛市三个样本中显著为正,但是与以往的众多研究结果类似,本文的总体和分期样本中,基金的择时能力不明显。本文采用的样本分期和采用周数据的检验补充了有关基金业绩评估的学术文献。

Can Mutual Funds Beat the Market

It has been a hot topic that whether the mutual funds can outperform the market.With the development of the mutual funds industry in mainland China,the academic has carried out certain research into the performance of mutual funds industry.However,few papers used weekly data and separated the bear and bull market when tested the performance.Weekly data through 2005 and 2006 was used in this paper,since these two years can be identified as representatives of bear and bull market respectively.Focused on the abnormal return,selection ability and timing ability of mutual funds,our research found that mutual funds had a significant abnormal return and their selection abilities were significant in any segment of our sample time.Our research also had the similar conclusion with other researches that the timing abilities of mutual funds were insignificant.