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在通过Sharpe基金风格模型搞清基金实际风格后,利用中信风格指数将Fama-French“三因素”(简称FF“三因素”)模型应用于基金的绩效评价。通过对30只基金两年周收益率数据实证结果发现:FF模型3个系数显著性良好,基金风格特征可以表现;拟合程度较之单因素模型有较大提高,反映了FF模型更加准确的特点;单因素和FF“三因素”模型的Jenson指数说明了基金具有获得超额收益率的能力。
After using the Sharpe fund style model to find out the actual style of the fund, the Fama-French “three factors ” (FF “three factors ”) model is applied to the performance evaluation of the fund by using CITIC style index. Through the empirical analysis of the yield data of two funds of 30 funds, it is found that the three coefficients of the FF model are remarkably good and the fund’s style characteristics can be expressed. The fitting degree is greatly improved compared with the single factor model, which reflects that the FF model is more accurate The Jenson index of the single factor and FF “three factors ” model shows that the fund has the ability to obtain excess return.