主动管理型开放式基金绩效及其持仓系统性风险研究

发布时间：2018-04-23 16:13

本文选题：开放式基金 + 基金持仓　；参考：《当代财经》2017年05期

【摘要】：基于多维视角对我国证券投资基金进行评价具有重要的理论意义和现实意义。从基金收益、基金持股与基金交易三个维度,采用六因子模型并区分不同的市场状态,对我国主动管理型开放式股票型及混合型基金绩效及其交易能力进行综合评价,发现我国主动管理型开放式股票型基金能产生风险调整后收益,而混合型基金调整股票持仓水平的弹性则有助于基金经理发挥择时能力。应用六因子模型检验我国主动管理型开放式基金绩效的研究结果,能给需要分散风险的投资者提供一定的参考。
[Abstract]:It is of great theoretical and practical significance to evaluate securities investment funds in China based on multi-dimensional perspective. From the three dimensions of fund income, fund shareholding and fund trading, this paper comprehensively evaluates the performance and trading ability of China's active and open equity and hybrid funds by adopting six factors model and distinguishing different market states. It is found that the risk-adjusted return can be generated by the active management open-end stock fund in China, while the flexibility of the mixed fund in adjusting the stock position level will help the fund manager to play the timing ability. Applying the six-factor model to test the research results of the open-end fund performance of active management in China can provide a certain reference for the investors who need to disperse the risk.
【作者单位】：江西财经大学金融发展与风险防范研究中心/金融管理国际研究院;
【基金】：国家自然科学基金项目“会计信息披露质量、股价延迟反应与流动性风险”(71463018);国家自然科学基金项目“我国开放式基金绩效指标的操纵和投资者反应研究”(71303098)
【分类号】：F832.51

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