第9卷第2期北京交通大学学报(社会科学版) No12 2010年4月JournalofBeijingJiaotongUniversity(SocialSciencesEdition) ࠎႿT-Mଆ֥ݓष٢ൔࠎࣁᄴൈა࿊ܢି৯ൌᆣ࣮魏 立 波(西安交通大学经济与金融学院,陕西西安710061)ᅋ ေ:本文根据基金的资产配置情况选择合适的T-M模型,对2006年1月1日至2009年3月31日期间的41只样本开放式基金的择时与选股能力进行了实证研究b结果表明:样本开放式基金的超额收益主要是承担股票市场系统性风险而获得的超额收益,仅个别开放式基金具有显著的选股能力,但样本开放式基金整体不具备显著的择时能力b今后应该从市场a业绩评价以及基金经理个人素质三个方面来提高基金经理的择时与选股能力bܱՍ:开放式基金;择时能力;选股能力ᇏٳোݼ: ໓ངѓ്:A ໓ᅣщݼ:1672-8106(2010)02-0073-05EmpiricalAnalysisoftheMarketTimingandSecuritySelectingAbilityforOpen-EndFundBasedonT-MModelWEILi-bo(SchoolofEconomicsandFinance,,,China)Abstract:BasedonT-Mmodel,thispaperinvestigatesthemarkettimingandsecurityselectingabilityof41open-endfundsfromJanuary1,2006toMarch31,;Althoughanindividualfunddemonstratesasignificantsecurityselectingability,,:open-endfund;markettimingability;securityselectingability一a引ࣁ֥ᅬඔղ֞9192ຣ,ఃᇏ۱ದሧᆀӻႵࠎ 言ࣁ֥б২ۚղ87%[1]bაՎൈ,ष٢ൔࠎࣁ֥ြࠛᄝٿоൔࠎࣁӮۿ൫ׄࠎԤഈ,ݓᆣࡓ߶Ⴟ္ᄀটᄀ൳֞ഠ߶۲ࢸ֥ܼܱٗᇿ,࿐ඌࢸؓࠎࣁြ2000୍10ᄅ8ರؿ҃ਔ5ष٢ൔᆣಊሧࠎࣁ൫֥࣮ࠛႿሹุြࠛіགྷ,طࠎࣁ֥ሸކြࠛіགྷׄϷم6,2001୍9ᄅݓֻ၂ᆺष٢ൔࠎࣁ)))൞Ⴎࠎࣁ֥ࣜ࿊ܢି৯ބᄴൈି৯֥֮ۚथקνԷྍӮ৫bࣜݖ7୍؟֥ؿᅚ,ࢩᇀ2007୍֥[2]bఃᇏ,࿊ܢି৯ࠧܢௐ࿊ᄴି৯,൞ᆷࠎࣁࣜ12ᄅ31ರ,ݓࣜᆣࡓ߶ሙषြ֥ࠎࣁܵ܄ؓ۱ܢ֥ყҩି৯,ؓᆣಊ൧ӆഈࡎ۬აࡎᆴཌྷМඳղ֞59ࡅ,ၘࣜӮ৫֥ष٢ൔࠎࣁሹඔղ֞ਔᆣಊ്֥љି৯,്ࠧљઙೆࡎᆴФ֮ܙaછԛࡎᆴФ310ࡅ,ࠎࣁ࣪ሧӁሹحჿູ3104ຣၡჭ,ष٢ൔࠎ ൬۠ರ௹:2009-12-15ቔᆀࡥࢺ:້৫ѯ,ଳ,ഈݚದ,༆νࢌ๙ն࿐ࣜ࠶აࣁವ࿐ჽѰൖളb࣮ٚཟ:ࣁವ࿐b
Кࣘࢌ๙ն࿐࿐Б(ഠ߶॓࿐ϱ) 2010୍74ۚܙ֥ᆣಊ֥ି৯bᄴൈି৯ࠧ൧ӆ࿊ᄴି৯,ൈି৯ᆷѓ;Eptູෛࠏ༂ҵཛbᄝ၂ק֥ཁᇷྟ൞ᆷࠎࣁࣜؓ൧ӆᆜุሼ൝֥ყҩି৯bऎႵඣ༯:AཁᇷնႿ0,ᄵඪૼࠎࣁࣜऎႵӮᄴൈି৯֥ࠎࣁࣜିᆞಒֹܙ࠹൧ӆ֥ሼ൝,ۿ֥࿊ܢି৯;B2ཁᇷնႿ0,іૼ֒൧ӆ൬ᄝ൧ൈࢆ֮གྷࣁժࠇิۚࠎࣁቆކ֥Bᆴ;ၭੱิۚൈaࠎࣁ൬ၭิۚږ؇۷ն,֒൧ӆ൬ၭᄝྦྷ൧ൈิۚགྷࣁժࠇࢆ֮ࠎࣁቆކ֥Bᆴbੱࢆ֮ൈaࠎࣁ൬ၭࢆ֮ږ؇۷ཬ,ࠧࠎࣁࣜऎT[3]reynorބMazuyაHenrikssonބMerton[4]ࢠႵࢠ఼֥ᄴൈି৯bᄪ࣮ਔष٢ൔࠎࣁ֥ᄴൈა࿊ܢି৯,ѩܒࡹᄝܙࠎࣁ֥ᄴൈა࿊ܢି৯ൈ,ԮT-ਔT-MଆაH-Mଆ,ᆃਆ۱ଆၘӮູMଆሢᇗॉҳࠎࣁᄝܢௐބགྷࣁᆭࡗ֥࿊ᄴ,ଢభቋູӈႨ֥࣮ࠎࣁᄴൈა࿊ܢି৯֥ൌᆣطીႵॉ੮ᅏಊ֥႕ཙ,ၹՎھଆൡކႿܙଆ,ೂᇛᄶ࣫aൎЧ[5],ࣁᤍaൗ୪[6],ႿৡaᆺሧႿܢௐ൧ӆ֥ᆣಊሧࠎࣁ֥ᄴൈა࿊ܢზਟ[7]֩ದ֥࣮ᄎႨਔᆃਆ۱ଆbሸކটି৯,ॖၛӫູֆၹT-Mଆbູਔ۷ݺֹ,ुࠎࣁ֥ሧ൬ၭᇶေႮڄག൬ၭੱaሧቆކ࣮ପུ࠻ሧႿܢௐ൧ӆႻሧႿᅏಊ൧ӆ֥ӵք൧ӆڄགطࠆ֤֥ӑح൬ၭaࠎࣁ֥ࣜ࿊ܢᆣಊሧࠎࣁ֥ᄴൈა࿊ܢି৯,Lehmannބି৯აᄴൈି৯෮ࠆ֤֥൬ၭ෮ቆӮbMod[8]estᄝֆၹT-Mଆ֥ࠎԤഈႄೆᅏݓ5ᆣಊሧࠎࣁܵᄠྛϷم6ᄻܿק,ಊ൬ၭੱ֥႕ཙᆷѓ,ࡹ৫ਔਆၹT-MଆᆣಊሧࠎࣁሧႿݓᅏ֥ሧӁб২҂֤֮ႿbЧ໓ࢹHenrikssonބMerton֥࣮නਫ਼,20%,࣐ܵ2004୍6ᄅ5ᇏದ܋ބݓᆣಊࡼᄝၛഈଆ֥ࠎԤഈᄹࡆᅏಊӑح൬ၭބᅏಊሧࠎࣁم6֥ᆞൔൌീ౼ཨਔᆃ၂ཋᇅྟ่ॻ,ᄴൈି৯ᆷѓ,Ֆطڿࣉଆট࣮ဢЧष٢ൔ൞ն҆ٳष٢ൔࠎࣁಯಖࡼ၂קб২֥ࠎࣁሧӁࠎࣁ֥࿊ܢაᄴൈି৯bᄹࡆᆃ၂ڿࣉ֥ჰၹᄝሧႿݓᅏbၹՎ,۬টඪݓ֥ն҆ٳष٢Ⴟ:۴ऌն؟ඔܢௐࠎࣁᅱଟඪૼᇏ෮ܿק֥ൔࠎࣁඋႿࠁކࠎࣁ,ᄝ࣮ܢௐष٢ൔሧٚཟ,ၛࠣൌ࠽ᇏ֥ሧሑঃট,ुݓ֥ष٢ࠎࣁ֥ᄴൈა࿊ܢି৯ൈ္сྶॉ੮ᅏಊ൬ၭ֥ൔࠎࣁᄝ҂ӱ؇ഈӻႵᅏಊ,ၹՎࠆ౼ᆃ҆ٳ႕ཙbଢభ,ݓଽ࿐ᆀᄝ࣮ݓܢௐष٢ൔሧ൬ၭ֥ି৯္൞сྶॉ੮֥bऎุڿࣉູࠎࣁ֥ᄴൈა࿊ܢି৯ൈ,๙ӈ࿊౼ܢௐ൧ӆބRpt-Rft=A+B1(Rst-Rft)+B2(Rst-R2ft)ᅏಊ൧ӆ֥սіᆷඔ,๙ݖၛഈᆷඔ၂קб২֥ +B3(Rbt-Rft)+B4(R2bt-Rft)ቆކটܒᄯ൧ӆࠎሙ൬ၭੱ,ಖުҐႨԮT- +B5(Rst-Rft)(Rbt-Rft)+Ep,t(2)Mଆটؓݓष٢ൔࠎࣁ֥ᄴൈა࿊ܢି৯ࣉྛൌᆣٳ༅bಖطᄝൌᇏൔ(2)ᇏ:Rstіൕtൈ௹ܢௐ൧ӆ֥൬ၭ,ੱRbtі,ࠎࣁࣜᄝؓܢൕtൈ௹֥ᅏಊ൧ӆ൬ၭੱ;Aսі࿊ܢି৯ᆷௐބᅏಊ֥ᇂݖӱᇏթᄝ൧ӆൈࠏ࿊ᄴ֥໙,ีЧ໓ࡼ۴ऌ۲ष٢ൔࠎࣁ֥ሧӁᇂ౦ঃটѓ,B1іൕࠎࣁ෮ӵք֥ܢௐ൧ӆ֥༢ྟڄག༢ඔ,B2൞ޙਈܢௐᄴൈି৯֥ᆷѓ,B࿊ᄴކൡ֥3іൕࠎT-Mଆؓݓष٢ൔࠎࣁ֥ᄴൈა࿊ܢି৯ࣉྛൌᆣٳ༅bࣁ෮ӵք֥ᅏಊ൧ӆ֥༢ྟڄག༢ඔ,B4൞ޙਈᅏಊᄴൈି৯֥ᆷѓ,B5іൕܢௐაᅏಊ൧ӆ二aT-M模型ӑح൬ၭࢌҭཛ֥༢ඔ;ఃᆷѓა܄ൔ(1)ᇏ֥ݣၬ၂ᇁbAཁᇷնႿ0,іૼࠎࣁࣜऎႵTreynorބMazuyᄝֆၹJensenᆷඔ֥ࠎԤࢠ఼֥ᆣಊ࿊ᄴି৯;B2ཁᇷնႿ0,іૼࠎഈࡆೆ1۱2ՑཛܒࡹਔԮ֥T-Mଆ,ھଆࣁࣜିყҩ֞ܢௐ൧ӆ൬ၭაڄག൬ၭᆭࡗࡼࠎࣁ֥ӑح൬ၭٳࢳູ࿊ܢି৯൬ၭa൧ӆӑ֥ҵၳ,ऎႵࢠ఼֥ܢௐᄴൈି৯;B4ཁᇷնح൬ၭބᄴൈି৯൬ၭ3҆ٳ,ଆіղൔູႿ0,іૼࠎࣁࣜିყҩ֞ᅏಊ൧ӆ൬ၭაRpt-Rft=A+B1(Rmt-Rft)ڄག൬ၭᆭࡗ֥ҵၳ,ऎႵࢠ఼֥ᅏಊᄴൈି৯b +B2(Rmt-R2ft)+Ept(1)ൔᇏ:Rptіൕtൈ௹ष٢ൔࠎࣁq֥൬ၭ;ੱR三a基于T-M模型的实证分析ftіൕtൈ௹֥ڄག൬ၭੱ;Rmtіൕtൈ௹֥൧(၂)ڄག൬ၭੱ֥ಒקӆ൬ၭ;ੱAսі࿊ܢି৯ᆷѓ;B1սіष٢ൔЧ໓οᅶૄ၂০ੱඣᄝ၂୍֒ᇏ֥ൌ࠽ࠎࣁሧቆކӵք֥༢ྟڄག༢ඔ;B2սіᄴႨൈࡗࡆಃन࠹ෘ୍০,ੱᄜࡼ۲୍୍֥০ੱ
ֻ2௹ ້৫ѯ:ࠎႿT-Mଆ֥ݓष٢ൔࠎࣁᄴൈა࿊ܢି৯ൌᆣ࣮75ࣉྛࡥֆෘඌनԩ,ѩ२Ԣ20%֥০༏ඥ,ࣁٺح֥၇ऌ෮ᄝbၹՎ,Ч໓ҐႨဢЧष٢ൔቋᇔ֤ԛࣜטᆜ֥ᇛڄག൬ၭੱbၿྛթॻ০ࠎࣁ֥ᇛ࣪ᆴ൬ၭੱটޙਈࠎࣁ࣪ᆴᄝ၂؍ൈࡗੱ֩ඔऌটሱᇏݓದၿྛຩᅟbଽ֥ѯ౦ঃ,࠹ෘൔູ(ؽ)ဢЧࠎࣁ֥࿊౼NAVpt-NAVpt-1+DptᄝဢЧ࣮௹ࡗ࿊ᄴഈ,Ч໓࿊౼Rpt=2006୍భNAV(3)pt-1Ӯ৫֥ष٢ൔࠎࣁቔູဢЧࠎࣁ,࣮௹ࡗູఃᇏ:NAVptіൕֻpᆺष٢ൔࠎࣁᄝֻtᇛ֥2006୍1ᄅ1ರᇀ2009୍3ᄅ31ರ,ၹᆃུषֆ໊ሧӁ࣪ᆴ,NAVpt-1іൕֻpᆺष٢ൔࠎࣁ٢ൔࠎࣁ֥Ӯ৫ൈࡗᄝ3୍ၛഈ,ᄝ2006୍ᄝֻt-1ᇛ֥ֆ໊ሧӁ࣪ᆴ,Dptіൕֻpᆺषᇀ2009୍௹ࡗധܢ൧ࣜਔ҂֥൧ӆྛ౦٢ൔࠎࣁᄝֻtᇛ֥གྷࣁٳޣ,Rptіൕֻpᆺषࢨ؍,࿊౼ᆃུष٢ൔࠎࣁିܔ۷ࡆग़ܴaಆ૫ֹ٢ൔࠎࣁᄝֻtᇛ֥൬ၭੱbဢЧष٢ൔࠎࣁ֥ॉҳݓष٢ൔࠎࣁ֥ᄴൈა࿊ܢି৯,ൈ္ֆ໊ሧӁ࣪ᆴބٳޣ֩ඔऌनটሱࣁವࢸຩᅟbஆԢਔဢЧ௹ࡗ҂֥႕ཙbᄝࠎࣁো֥࿊ᄴ()ဢЧࠎࣁሧӁᇂ౦ঃഈ,ႮႿ۲ᇕোࠎࣁ֥ሧቆކҵљࢠն,ܢௐႮႿष٢ൔࠎࣁ൞၂ᇕࠢކሧ۽ऎ,ࠎࣁࠎࣁ෮ᅝ֥б২ቋն,෮ၛЧ໓࿊౼ܢௐࠎࣜࡼࠎࣁሧӁٳљሧႿܢௐaᅏಊބఃࣁቔູ࣮ؓའbࣜݖၛഈೱ࿊,ژކ่ࡱ֥षሧؓའ,ࠎࣁ֥ሧ൬ၭ္൞Ⴎܢௐaᅏಊ֩۲٢ൔࠎࣁ܋Ⴕ41ᆺ,ဢЧࠎࣁࠎЧሧਘі1bሧؓའ֥ሧ൬ၭ෮ቆӮ,ဢЧष٢ൔࠎࣁ֥ሧष٢ൔࠎࣁ֥ֆ໊ሧӁ࣪ᆴّ႘ଖ၂ൈׄഈӁᇂ౦ঃі1,іᇏඔऌ۴ऌྍশҍࣜބࣁֆ໊ࠎࣁ֥࣪ሧӁնཬ,൞ണܓაඁ߭ष٢ൔࠎವࢸຩᅟ࠹֤֞bі1 ဢЧष٢ൔࠎࣁᄝ࣮௹ࡗ֥ሧӁᇂ౦ঃࠎࣁӫܢௐሧᅏಊሧб২གྷࣁ൧ᆴб২ٓຶ/%ٓຶ/%б২ٓຶ/%ࠎࣁӫܢௐሧᅏಊሧб২གྷࣁ൧ᆴб২ٓຶ/%ٓຶ/%б২ٓຶ/%Џूཨٮ4611~7414213~2412313~4813ࢌၿࣚ࿊6018~9211010~1410219~2218Џ႔ٗခݚ6111~89180101119~3115ࣁႊႪ࿊6311~78122012~2610015~1611Ѱൈࣚ࿊6418~9112010~2116615~2912ࣟඨӉӬႪ࿊7215~78172011~2315111~712Ѱൈᇶี6513~9317010~1613710~3918ࣟඨץၭ6415~95010~2414319~2712Ӊྐၿ০6815~79161313~1913410~1312ࣟඨଽླᄹӉ7018~9414010~1412213~1811նӮࡎᆴᄹӉ6611~78192011~3113018~1818ਈ߄ނྏ86~9416010516~2218഻֣ࣚ࿊6814~9110010~1017713~1114ଲٚۚᄹ6416~9414010~1810218~2817ڶݓ฿ၭ6319~9413010~27124315~1813ଲٚࠒ5815~9415010~3714314~915۽ၿࡎᆴ6118~9216214~2618119~3116୶νܢௐ4716~9411010~213414~5317ܼؿऊپ6612~9410010~1818517~2418ഈa7215~8619117~1512418~1818ܼؿཬ7119~9413010~0105612~2213ഈႪ൝8216~9311119~715115~1215ݓࣁႊᄹӉ6418~9315112~2317017~2118ຣࡅ܄Ⴈ6019~9019010~01051216~4217ݚڶܢௐ7316~9318010~1312010~2411ྍ৯7218~9311010~817716~2111ހၿӮӉ5812~77122010~2911118~1914ၞࠎҦ6418~9415010~2819215~1119ހၿࣚ࿊7115~9318010~1710517~1619ၞࠎࠒࠞ6415~9417010~2210411~2612ހၿ໗ק5811~79122011~3310119~1617ၿႪ࿊ܢௐ6814~~015516~2816ހၿᇛ௹6316~78182012~2513015~1713ႶϹഹൗ6118~8619010~1014318~3214νԷྍ4814~69172015~4514414~1818ᅱഅνܢௐ6417~77132013~2819314~1919ЏҦ5416~9411010~3710613~2518ᅱഅӮӉ7517~9417010~1017413~2512Џ৯6212~8914010~5101215~3517ᇏྐޣ০6619~9313010~2919113~2013ࡹྐࡎᆴ7013~9116010~817112~3112 Ֆі1ॖၛुԛ,ԢЏ႔ٗခݚބਈ߄ނྏࠛটჷ࿊ᄴކൡ֥T-Mଆ۷ູކ:ؓЏ႔ຓ,ఃჅ39ᆺष٢ൔࠎࣁनၛܢௐaᅏಊބགྷࣁٗခݚބਈ߄ނྏҐႨԮT-Mଆ,طؓఃቔູሧؓའ,ᆃіૼն҆ٳဢЧࠎࣁඋႿࠁჅ39ᆺष٢ൔࠎࣁҐႨਆၹT-MଆbႮކࠎࣁbᄝܙࠁކࠎࣁ֥ᄴൈა࿊ܢି৯Ⴟݓն҆ٳष٢ൔࠎࣁಯಖࡼ၂קб২֥ࠎࣁൈ҂ିᆺॉ੮ܢௐ൧ӆ,ၹՎ۴ऌဢЧࠎࣁ֥ြሧӁሧႿݓᅏ,ၹՎЧ໓ࡼၛᇏྐѓ௴ݓᅏᆷ
Кࣘࢌ๙ն࿐࿐Б(ഠ߶॓࿐ϱ) 2010୍76ඔቔູᅏಊ൧ӆ֥սіᆷඔaၛധ300ᆷඔቔؓဢЧष٢ൔࠎࣁ֥൬ၭੱਙࡹଆٳ༅ݓषູܢௐ൧ӆ֥սіᆷඔؓဢЧࠎࣁ֥ᄴൈა࿊ܢ٢ൔࠎࣁ֥ᄴൈა࿊ܢି৯bఃᇏ,ջ*ݼ֥ඔି৯ࣉྛൌᆣٳ༅bऌіૼᄝ5%֥ཁᇷྟඣ༯ऎႵ࠹ഈ֥ཁᇷ(ඹ)ൌᆣࢲݔٳ༅,ྟR2ູٚӱ֥ކႪ؇,ҕඔܙ࠹ࢲݔі2bЧ໓ᄎႨEviews510ೈࡱ,ҐႨT-Mଆі2 ဢЧष٢ൔࠎࣁᄴൈა࿊ܢି৯֥ҕඔܙ࠹ࢲݔ ӫAB1B2B3B4B5R2Џूཨٮ-010027016341*013542-010403283149621911067013249Џ႔ٗခݚ-010019016619*010493 - - -014612Ѱൈࣚ࿊-010005018255*-01746401400727313492211680015198Ѱൈᇶี010046016986*0106931108462612113812572016608Ӊྐၿ০010017017969*-010824-01515411417326114934019193նӮࡎᆴᄹӉ010020017377*0124740172041412485-114297019063֣ഹࣚ࿊-010016018546*011493-019386445152062611617016467ڶݓ฿ၭ010010016873*016121114125-16815560-719123015460۽ၿࡎᆴ-010031017217*018332110278-1112686-013117012866ܼؿऊپ-010007018192*110778612569-85410149-2613450013258ܼؿཬ010027018961*-01452801271935116215*2319303018569ݓࣁႊᄹӉ010080013495217416-413842201102285514093010266ݚڶܢௐ010021018469*-010854013333-16510943-1719814017482ހၿӮӉ010055016470*011491110980-25711252-2215420011743ހၿࣚ࿊010033017660*013807111794-5311068-317861018082ހၿ໗ק010060017436*014995111036-42914904-3312582011280ހၿᇛ௹010055017858*019098110327-27515760-2717788011385νԷྍ-010002017482*014805316067-104915790*-8415364012893ЏҦ-010062017076*115092-116409-13412820-2415106012316Џ৯010029*016996*011056-01385512913416418947019119ࡹྐࡎᆴ-010042016425*014464-111915396173072517295014267ࢌၿࣚ࿊-010002015818*-010662014141237136652519076012452ࣁႊႪ࿊-010017016983*0128760100089115003717550015838ࣟඨӉӬႪ࿊-010027016643*012558112832209108413019262013972ࣟඨץၭ010037*017152*012408013412-7313373-310135018796ࣟඨଽླᄹӉ010031017878*-01106301476714714740314979018305ਈ߄ނྏ-010042018777*015908 - - -014117ଲٚۚᄹ010017018100*0107250161883413335-311400018763ଲٚࠒ010109015706*-213973-01548024414557512061011812୶νܢௐ010073014984*010509-217374780162157917447010816ഈέغم010043*017064*01145601743771182961214819018670ഈᇏݓႪ൝010038018953*013999211513-2010849713894014352ຣࡅ܄Ⴈ-010019017143*-01393901257826619644611740015053ྍ৯-010008018496*111621419883*-98518597*-3912321015875ၞࠎҦ010042*017968*-010514113343-12217925-1718058018099ၞࠎࠒࠞ-010011016798*012493110446142118481111294013180ၿႪ࿊ܢௐ-010020016532*-010251-019665639191465815460012796ႶϹഹൗ010014018078*-011186118053-56313344-6016679012510ᅱഅνܢௐ-010020015464*-011210-016345342122892111170012392ᅱഅӮӉ-010007017154*011428-010136185179361910740013871ᇏྐޣ০010055*017012*011392016547-18515507-2311209018279
ֻ2௹ ້৫ѯ:ࠎႿT-Mଆ֥ݓष٢ൔࠎࣁᄴൈა࿊ܢି৯ൌᆣ࣮77 ՖA֥݂߭༢ඔটु,ЏूཨٮaЏ႔ٗခࣁ֥ࣜ۱ದᇉႵ၂קܱ༢bݓᆣಊ൧ӆ֥ݚaѰൈࣚ࿊a֣ഹࣚ࿊a۽ၿࡎᆴaܼؿऊپaധ؇ބܼ؇ཌྷؓࢠཬaಌكކ֥хག۽ऎѩ༱ԷྍaЏҦaࡹྐࡎᆴaࢌၿࣚ࿊aࣁႊႪթᄝնਈ֥ࠏྛູ,ᆃဢ֥൧ӆߌ҂০Ⴟष࿊aࣟඨӉӬႪ࿊aਈ߄ނྏaຣࡅ܄Ⴈaྍ৯a٢ൔࠎࣁ֥նܿଆؿᅚ;ࠎࣁြࠛࡎุ༢ݖႿၞࠎࠒࠞaၿႪ࿊ܢௐaᅱഅνܢௐၛࠣᅱഅᇿᇗ؋௹ஆ,֝ᇁࠎࣁࣜၹԛႿലუࠇྈԏӮӉ19ᆺဢЧࠎࣁ֥࿊ܢି৯൬ၭູڵ,ఃჅ֥ॉ੮ሔ؋௹ིႋ,طࣉྛ҂֒ሧӁᇂbၹ22ᆺဢЧࠎࣁ֥࿊ܢି৯൬ၭनູᆞ,ఃᇏЏՎ,ࡓܵ҆ႋھ҂؎ࡆ఼ᆣಊ൧ӆ֥ࡹഡ,ູष৯aࣟඨץၭaഈέغمaၞࠎҦބᇏྐޣ٢ൔࠎࣁ֥ᄎቔิ܂ਅݺ֥ሧߌ,Ⴕ০Ⴟࠎ০֥AᆴऎႵ࠹ഈ֥ཁᇷ,ྟၹՎᆃ5ᆺष٢ࣁࣜ๙ݖႵི֥ሧӁᇂটิۚሧြࠛ,ิൔࠎࣁऎႵཁᇷ֥࿊ܢି৯bՖB1֥݂߭༢ඔۚᄴൈა࿊ܢି৯;ܒࡹ࡙ܤӉa؋௹ଢѓ֥ࠎࣁট,ुԢݓࣁႊᄹӉຓ,ఃჅ40ᆺဢЧࠎࣁनြࠛࡎุ༢,ٝᆸࠎࣁ֥ࣜ؋௹߄Ҡቔౠཟ;ࠆ֤ਔཁᇷ֥ܢௐ൧ӆӑح൬ၭ;ՖB3֥݂߭༢ࡆ఼ؓࠎࣁ֥ࣜᆯြ֣֡,࠻ॖၛิۚࠎඔট,ुЏूཨٮaӉྐၿ০a֣ഹࣚ࿊aݓࣁႊࣁ֥ࣜࣜႏܵඣႻႵ০Ⴟх૧؋௹ྛູbᄹӉaЏҦaЏ৯aࡹྐࡎᆴaଲٚࠒa୶νܢௐaၿႪ࿊ܢௐaᅱഅνܢௐၛࠣᅱഅҕॉ໓ང:ӮӉ12ᆺဢЧࠎࣁ֥ᅏಊ൧ӆӑح൬ၭູڵ,ః[1]中国证券业协会.证券投资基金[M].北京:中国财Ⴥ27ᆺဢЧࠎࣁᇏࣇྍ৯ࠆ֤ਔཁᇷ֥ᅏಊ政经济出版社,2008110-18.ӑح൬ၭbՖB2֥݂߭༢ඔট,ुѰൈࣚ࿊aӉ[2][J].ྐၿ০aܼؿཬaݚڶܢௐaࢌၿࣚ࿊aࣟඨଽླJournalofFinance,1972,27(3):551-567.ᄹӉaଲٚࠒaຣࡅ܄ႨaၞࠎҦaၿႪ࿊ܢ[3]TreynorJL,ௐaႶϹഹൗၛࠣᅱഅνܢௐ12ᆺဢЧࠎࣁ֥Market?[J].HarvardBusinessReview,1966,44(4):ܢௐᄴൈି৯൬ၭູڵ,ఃჅ29ᆺဢЧࠎࣁ֥ܢ131-136.[4]HenrikssonRD,ௐᄴൈି৯൬ၭູᆞ,न҂ऎႵ࠹ഈ֥ཁᇷInvestmentPerformanceI:AnEquilibriumTheoryof;ྟՖB4֥݂߭༢ඔটु,16ᆺဢЧࠎࣁ֥ᅏಊValueforMarketForecasts[J].JournalofBusiness,ᄴൈି৯൬ၭູڵ,νԷྍაྍ৯2ᆺဢ1981,54(3):363-406.Чࠎࣁ֥B4ऎႵ࠹ഈ֥ཁᇷྟ,ఃჅ23ᆺဢ[5]周泽炯,史本山.我国开放式基金选股能力和择时能Чࠎࣁ֥ᅏಊᄴൈି৯൬ၭູᆞ,ࣇܼؿཬ力的实证研究[J].财贸研究,2004,15(6):92-97.ऎС࠹ഈ֥ཁᇷྟ[6]金昊,吴世农.牛市与熊市期间我国开放式股票型基,ၹՎܼؿཬऎСཁᇷ֥ᅏಊᄴൈି৯b金的绩效评价[J].首都经济贸易大学学报,2007,9ሸഈ෮ඍ,ဢЧष٢ൔࠎࣁ֥ӑح൬ၭᇶေ(1):57-61.൞ӵքܢௐ൧ӆ༢ྟڄགطࠆ֤֥ӑح൬ၭ[7]于丽,杜玉林.中国开放式基金选股和择时能力的实,证分析[J].金融理论与实践,2008,(1):93-96.Џ৯aࣟඨץၭaഈέغمaၞࠎҦބᇏ[8]LehmannB,-ྐޣ০ऎႵཁᇷ֥࿊ܢି৯,ܼؿཬऎСཁᇷvaluation:AComparisonofBenchmarksandBenchmark֥ᅏಊᄴൈି৯,ဢЧࠎࣁᆜุ҂ऎСܢௐᄴComparisons[J].JournalofFinance,1987,42(2):ൈି৯,ᆃა൧ӆᄎቔߌaࠎࣁြࠛࡎၛࠣࠎ233-265.(责任编辑:刘 越)
