【作者】 任夏翔； 龚德风； 李好好；

【Author】 REN Xia-xiang,GONG De-feng,LI Hao-hao (Management School,University of Shanghai for Science and Technology,Shanghai 200093,China)

【机构】 上海理工大学管理学院；

【摘要】 对资产组合的投资绩效进行科学评价必须是经过风险调整的。本文应用因素分析的方法包括詹森阿尔法单因素模型、双因素模型、三因素模型、T-M模型和H-M模型对选定考察期内开放式股票型基金业绩进行经风险调整的绝对评价,分析涉及业绩分析和业绩成因分析两个方面,通过在各考察期的实证分析,揭示了基金业绩在牛熊市中表现出的阶段性特征,并对基金的择时和选股能力做出判断。利用考察期内所有的样本基金进行大样本的实证对比分析是本文的研究特色。更多还原

【Abstract】 It’s necessary to use risk adjusted method for scientifically evaluating portfolio investment.The article chooses factor analysis models which includes Jensen’s single factor model,double factors model,fama’s three factors model,T - M model and H - M model to absolutely evaluate mutual funds performance in risk adjusted aspect. This analysis involves performance itself and performance cause.According to empirical analysis in every investigation period spited by market feature,we get the stage differences of mutual fund performance in bull and bear markets,and inspect securities selectivity and market timing ability.The article has unique research feature which is using whole sample funds in the investigation period to imply compared empirical analysis.更多还原