基于持股数据的基金择股能力评价

证券投资基金的业绩评价是一个在理论和实践中都十分有意义的课题.传统的回归型评价方法对评价基准有较强的依赖性,而基于持股数据的方法则因利用了较多的信息而对基金的择股能力有较强的识别力.利用基于持股数据的方法对中国54个封闭式基金的择股能力进行实证分析,结果显示它们有明显的择股能力.

Holding-based Valuation on Stock Selection Ability of Funds

Valuation of fund performance is always an important topic in both theory and practice.Traditional methods of valuation based on regression have high dependence on the benchmarks.However,the holding-based methods have more power to identify the stock selection ability of funds,because they use more information than regression methods.Using the holding-based method,we made an empirical analysis on the stock selection ability of 54 Chinese funds,our results show that they have significant stock selection ability.