【摘要】 本文基于基金每季度前十大投资对象,构成投资组合,探讨基金的投资能力和投资收益。不同于现有的基金投资能力分析文献中所采用的方法,本文的分析方法不但避免了基金因投资股票和债券的混合而产生的市场基准指数类型选择上的误差,也不存在基金之间因管理费用收取上的差异,当用基金的净资产收益率来判断基金的投资能力时所带来的偏差。另外,本文以沪深两市所有上市的A股股票的市值为权系数,乘以其收益率,构成市场基准指数,并辅以其它3种市场指数作为对比。实证分析结果再次表明,投资基金不具有好的投资能力。更多还原

【Abstract】 This paper employs the 1999-2003 quarterly top 10 holdings of 33 closed-end funds to construct an estimate of their gross returns. In contrast with the existing articles on fund performance, this paper uses a method which can avoid biases not only in choosing the type of benchmark index in the case of combined investment fund, but also in judging the selecting ability by net assets return rate in the case of different management fee among funds. All A-Share stocks listed at Shanghai and Shenzhen Stock Exchanges are used to construct a value- and equal- weighted index. Together with another two indexes, statistical tests and Jensen Measures of closed-end funds are conducted. The empirical results indicate that, on the whole, 33 closed-end funds do not have strong stock selecting ability.更多还原