数据窥查效应、SPA检验与逐步检验法——兼论开放式基金绩效评价方法

采用新的计量检验方法来评估中国开放式基金的绩效是否具有统计上的显著性。为避免数据窥察所造成的推断错误,采用SPA逐步检验法(Step-SPA)来重新检验具有显著绩效的开放式基金。研究显示,2006-2010年间,若以月平均收益率作为绩效评价标准,中国开放式基金中没有任何一只基金显著地高于沪深300指数等表示的大盘收益率;只有6只基金的夏普指数在10%的显著性水平上超越大盘夏普指数;当绩效比较标准为三因子模型中的超额收益率时,仅有约7%的基金存在显著的超额收益率。

Data Snooping, Superior Predictive Ability and Step-SPA:the Evaluation of Open-Ended Fund Performance

For the data snooping,this paper discusses the statistical theory of the Superior Predictive Ability and uses the Step-SPA method developed by Hsu and Kuan(2008) to re-evaluate the performance of open-ended funds in China.The empirical results show that if we takes the monthly return rate as the indicator of fund performance,neither of the open-ended funds in China have the capacity to get higher return rate than the market return as measured by CSI 300Index between 2006and 2010,and there are only 6funds of which the Sharpe ratio is higher than the Market.When the indicator is the excess return rate calculated by the F-F three-factors model,there are only less than 7%funds which have the capacity to get excess return.