风格择时能力对基金绩效的影响研究

›› 2016, Vol. 28 ›› Issue (4): 41-51.

风格择时能力对基金绩效的影响研究

易力^1,2, 胡振华¹

1. 中南大学商学院, 长沙 410083;
2. 湖南师范大学商学院, 长沙 410081

收稿日期:2014-08-13 出版日期:2016-04-28 发布日期:2016-05-16
作者简介:易力,湖南师范大学商学院讲师,中南大学商学院博士研究生;胡振华,中南大学商学院教授,博士生导师,博士。

The Effect of Style Timing Ability on Fund Performance

Yi Li^1,2, Hu Zhenhua¹

1. Business School, Central South University, Changsha 410083;
2. Business College, Hunan Normal University, Changsha 410081

Received:2014-08-13 Online:2016-04-28 Published:2016-05-16

摘要/Abstract

摘要：

本文选取我国519支主动管理型的开放式基金在2002年1月-2013年12月的日数据,运用典型相关方法对基金经理风格择时能力是否影响基金绩效进行了实证研究。结果表明:风格择时能力与基金绩效之间呈中度相关;成长型基金的市场择时对基金绩效的影响最为显著,其次是价值与动量择时,主要来自于价值型与平衡型基金,而规模择时能力对基金绩效的影响并不显著;传统的夏普比与新的绩效评价指标对基金排序的影响均不大,然而风格择时能力对基金绩效的影响使得夏普比在基金排序中并非投资者的最优选择,这为投资者理性投资提供了新的视角。

关键词: 基金绩效, 投资风格, 风格择时能力, 典型相关

Abstract:

This paper adopts the canonical correlation method to examine whether fund managers' daily style timing abilities are able to affect fund performance for 519 actively managed open-ended mutual funds from January 2002 to December 2013. We find that there is a moderate correlation between style timing abilities and fund performance. Market timing ability mostly from growth funds can affect fund performance more significantly than value and momentum timing abilities mainly from value and balance funds, while the effect of size timing ability on fund performance is insignificant. The choice of performance indicators does not affect fund ranking, but the effect of style timing ability on fund performance makes Sharpe ratio being a suboptimal choice, which provides investors with a new viewpoint for rational investment.

Key words: fund performance, investment style, style timing ability, canonical correlation

易力, 胡振华. 风格择时能力对基金绩效的影响研究[J]. , 2016, 28(4): 41-51.

Yi Li, Hu Zhenhua. The Effect of Style Timing Ability on Fund Performance[J]. , 2016, 28(4): 41-51.

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