不依赖市场基准指数的基金投资能力分析

基于33只封闭式基金每季度前十位投资对象，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——组合改变测度法，不依赖于市场基准指数的选取。因此，不但可以避免基金绩效评价过程中因不同市场基准指数的选取而可能产生的偏差；而且也不会因基金投资于股票和债券的混合而产生的选择证券市场指数作为基准指数的误差，以及各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误差。实证分析结果表明，相对于普通投资者，本文所选取的33只封闭式基金总体上不具有好的证券选择能力。

Performance Measurement without Benchmarks:An Analysis of Closed-end Fund Quarterly Top 10 Holdings' Returns

This paper employs 1999-2003 quarterly top 10 stock holdings of 33 closed-end funds to construct an estimate of their gross returns. In contrast to the existed articles on fund performance, the method used in this paper does not depend on benchmarks for performance measurement. So it shuns the differences of performance measurement based on different benchmarks. Further more, it can not only avoid the biases coming from stock market index which is not appropriate for performance evaluation of combined investment fund, but also correct the possible biases because of different management fees among funds. The empirical results indicate that, on the whole, 33 closed-end funds do not have strong stock selecting ability than uninformed investors.