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区别于传统的基金经理能力的评价方法,首次采用随机最优前沿模型(stochastic frontier model)的思想,将基金的收益分解为三方面因素的共同作用:市场收益水平,基金经理的能力,以及基金经理的运气,以分析基金经理的能力与运气在不同管理时限内对基金收益的贡献水平.通过对中国基金市场的17支开放式股票型基金在2005年6月1日至2008年10月14日的日度数据进行分析,实证结果表明:相对于牛市,经理的能力在熊市中会发挥更大的作用并在更短的时间内,即3个月左右,成为基金收益的主导因素.同时,随着基金管理时间的增长,经理能力的贡献越来越显著.首次从基金业绩中分解出运气和基金管理能力各自的贡献,为认识基金经理的表现提供了一个新的视角和维度.
Differing from the traditional evaluation method of fund manager’s ability, the first time adopts the stochastic frontier model to decompose the fund’s return into three parts: the market return level, the fund manager’s ability, and the fund Manager’s luck to analyze the fund manager’s ability and luck in the different management time limits to the fund’s contribution level.Through the China fund market 17 open-end equity funds in the June 1, 2005 to October 2008 14 Japan’s daily data analysis, the empirical results show that: relative to the bull market, the manager’s ability to play a greater role in the bear market and in a relatively short period of time, that is, about 3 months, becoming the dominant factor in fund returns. , As the fund management time grows, the contribution of manager’s ability is more and more significant.For the first time, the contribution of fund and fund management ability can be decomposed for the first time, which provides a new perspective and dimension for understanding the performance of fund managers.