论文标题
基于中国积极管理股票共同基金的基于基础评估
Holding-Based Evaluation upon Actively Managed Stock Mutual Funds in China
论文作者
论文摘要
我们分析了2005年至2017年在中国积极管理的共同基金。我们制定了资产分配和选择的绩效指标。我们发现，基于持有模型的库存选择能力与Fama-French三因素模型估计的选择能力呈正相关，这是基于价格的回归模型。我们还发现，大多数情况下，基于持有模型的行业分配与从基于价格的Treynor-Mazuy模型估计的时序能力正相关。我们得出的结论是，大多数积极管理的基金具有正股票选择能力，但没有资产分配能力，这是由于难以预测政策变化。
We analyze actively managed mutual funds in China from 2005 to 2017. We develop performance measures for asset allocation and selection. We find that stock selection ability from holding-based model is positively correlated with selection ability estimated from Fama-French three-factor model, which is price-based regression model. We also find that industry allocation from holding-based model is positively correlated with timing ability estimated from price-based Treynor-Mazuy model most of the time. We conclude that most actively managed funds have positive stock selection ability but not asset allocation ability, which is due to the difficulty in predicting policy changes.
