基于持有的我国主动管理型股票型基金评价
Holding-Based Evaluation upon Actively Managed Stock Mutual Funds in China
摘要：
我们分析了2005年至2017年中国的主动管理型共同基金。我们为资产配置和选择制定绩效衡量标准。我们发现，基于持股模型的选股能力与基于价格回归模型的Fama-French三因子模型的选股能力呈正相关。我们还发现，基于持有的行业配置模型与基于价格的Treynor-Mazuy模型估计的择时能力在大多数情况下呈正相关。我们的结论是，大多数主动管理型基金具有积极的选股能力，但没有资产配置能力，这是由于难以预测政策变化。
英文摘要：
We analyze actively managed mutual funds in China from 2005 to 2017. We develop performance measures for asset allocation and selection. We find that stock selection ability from holding-based model is positively correlated with selection ability estimated from Fama-French three-factor model, which is price-based regression model. We also find that industry allocation from holding-based model is positively correlated with timing ability estimated from price-based Treynor-Mazuy model most of the time. We conclude that most actively managed funds have positive stock selection ability but not asset allocation ability, which is due to the difficulty in predicting policy changes.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
