| 用数理统计的方法对基金绩效进行实证研究 |
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| 引用本文： | 张海燕.用数理统计的方法对基金绩效进行实证研究[J].天津科技大学学报,2003(Z1). |
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| 作者姓名： | 张海燕 |
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| 作者单位： | 天津农学院基础部 天津 |
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| 摘 要： | 运用数理统计中的回归分析和假设检验等方法,分别选用Treynor的基金业绩分析模型和Fama的基金业绩分解模型,建立相应的回归方程,考察各回归方程的拟合程度和回归系数的显著性,据此评价通过F检验的各基金的基金管理人的投资才能。结果显示:除两个基金外,其余各基金的管理人的投资才能在基金绩效中的作用并不显著。
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| 关 键 词： | 回归分析 假设检验 投资才能 显著 基金绩效 |
RESEARCHING FUND PERFORMANCE WITH THE METHOD OF MATHEMATICAL STATISTICS |
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| ZHANG Hai-yan.RESEARCHING FUND PERFORMANCE WITH THE METHOD OF MATHEMATICAL STATISTICS[J].Journal of Tianjin University of Science & Technology,2003(Z1). |
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| Authors: | ZHANG Hai-yan |
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| Institution: | ZHANG Hai-yan Department of Basic Courses,Tianjin Agricultural College,Tianjin 300384,China |
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| Abstract: | The method of regression analysis and hypothesis testing in mathematical statistics were
used to evaluate fund performance. The funds having passed the F-test in 2001--2002 were taken as
the objects of evaluation. First, Treynor fund performance analysis model and Fama fund perform-
ance decomposition model were chosen. Then, after regression equations were established, we test-
ed how the regression equations fit and the significance of the coefficients. Last, the investing abili-
ty of the managers was evaluated. The results show that the capability of the fund managers to invest
wisely doesnt play an important role in fund performance. |
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| Keywords: | regression analysis hypothesis testing investing ability significance fund performance |
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