中國開放式股票型基金績效評估與持續性分析

Abstract

本文針對中國開放式股票型基金進行績效評估以及探討基金績效之持續性，以2008年1月至2010年12月為研究期間，對106支中國開放式股票型基金之月資料進行研究。第一部分利用Treynor指標、Sharpe指標及Jensen指標進行整體基金績效評估，並利用Treynor and Mazuy模型、Henriksson and Merton模型及Fabozzi and Francis模型來評估基金之選股能力與擇時能力。評估結果發現整體基金表現並沒有顯著優於市場投資組合。選股能力與擇時能力方面，實證結果顯示多數基金具有正向之選股能力，但無基金具有正向之擇時能力。 第二部分利用基金之相對績效及絕對績效進行績效持續性分析。實證結果發現，相對績效中，不論是以基金報酬率或超額報酬做為排序依據，短期內某些時期具有績效持續性，但長期而言整體績效不具持續性。在絕對績效中，實證結果顯示，長期而言，季度及半年度超額報酬不具績效持續性，但年度超額報酬具有顯著之績效持續性。

This paper uses 106 China open-ended equity mutual funds over a 3-year period to measure fund performance and performance persistence. In the first part, this paper uses Treynor index, Sharpe index and Jensen index to examine the performance of mutual funds. And also estimate stock selection and market timing ability using Treynor and Mazuy model, Henriksson and Merton model and Fabozzi and Francis model. Our estimate provide evidence that there is no significant difference between the performance of mutual funds and the market portfolio. Moreover, our empirical results show that most mutual funds have stock selection ability but lack for market timing ability. In the second part, we examine the performance persistence by the relative fund performance and the absolute fund performance. The empirical results show the relative performance persistence exist in some short-term periods, but it’s not significant in persistence in long-term. Moreover, the absolute performance lack for persistence in quarterly and semi-annually abnormal return, but it’s significant in persistence in annual abnormal return.