我国证券投资基金业绩实证分析
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摘要
随着我国新基金的不断设立和基金行业的超常规发展，恰当的监测、分析和评价基金的业绩已越来越重要。在此背景下，本文希望通过借鉴西方国家证券投资基金绩效评价的方法，结合我国的国情尝试尽可能真实的、多角度分析我国证券投资基金在不同市场时期的业绩特点，为基金投资者、监管者、基金管理公司以及基金业的发展提供一些参考。
针对目前我国基金业绩相关研究存在市场指数基准有缺陷、样本基金太少、样本时期太短以及缺乏分阶段动态分析等问题，本文根据中信相关指数设计了符合我国基金特色的基准组合，对33只封闭式基金在2000．01-2003．06包含市场上涨及下跌的期间进行实证研究。研究路线上，本文运用风险调整后的收益指标(Sharpe指数、Treynor指数、Jensen指数)、修正的T—M模型和Fama的超额收益分解以及双向表分别对基金业绩的大小、构成及持续性进行分析，实证得出如下结论：
(1)以未经风险调整的周平均收益率为评价指标，在市场上涨时期基金整体取得了高于无风险的业绩并且优于市场基准组合，而在在市场下跌时期基金未取得超过无风险利率的收益，但是基金业绩仍优与市场基准组合。
(2)我国基金的非系统风险在总风险所占比重较大，基金组合的多样化程度较低，因此目前以总风险调整为基础的Sharpe指数来评价我国基金的业绩比较合适。如果以Sharpe指数为基金业绩评价指标，我国基金业绩在总体上要优于市场基准，这在一定程度上也说明我国证券市场效率不够高。
(3)不同规模、不同基金管理公司之间业绩差别在统计意义上均不具有显著性。
(4)修正的T—M模型实证结果表明我国证券投资基金在包含市场上升和下跌的整个区间，整体上不具有市场时机选择能力，相
反，个别基金具有负的市场时机选择能力。同时结果表明我国证券
投资基金对于大盘股和小盘股之间的偏好各不相同、但整体较倾向
于选择成长性的股票。
(5)在整个考察期内，大部分基金具有显著的证券选择能力，
同时从构成总超额收益的比重来看，绝大部分基金证券选择收益率
对超额收益率的贡献占主要部分，进一步分析得知证券选择收益率
又主要是通过证券净选择收益率来实现。
(6)大部分基金业绩在短期内表现出一定的持续性，但整体在
统计上不具有显著性。
可以看出，我国证券投资基金虽然在整体上业绩超过市场基准，
但不具备明显的择时能力并且业绩持续性能力不显著，业绩不稳
定。究其原因，除了常见的基金组织结构、机制不完善及政策因素
外，本文重点从市场客观原因、基金投资风格及基金经理人因素来
解释。
结合实证结果和相关原因，我们对发展我国证券投资基金提出
了若干建议，并在本文结束之前对本文研究存在的局限性及今后需
进行的工作给予展望。
With the continuous establishment of new funds and the super development of funds industry in our country, properly inspecting, analyzing and evaluating funds performance is becoming more and more important. Under the background, the paper tries to describe and analyze the performance of Chinese security investment funds at different stage from different angels as far as possible. On the basis of the ways of performance evaluation in the developed countries, we hope to sum up some characteristics of Chinese funds and give some useful references to the relevant investors, supervisors, asset management companies and the development of funds industry.
As there are some deficiencies in related research on the performance of Chinese funds, such as benchmark, the number of selected funds and the period, we design appropriate benchmark on the basis of relevant Citic Index, select 33 close funds and demonstrate empirical research during the period from Jan, 2000 to Jun, 2003 .Within the period, the stock market has gone up and fell down. On the research route, we analyze the performance in terms of the ability, the component and the performance persistence respectively. The indexes we employed are the risk-adjusted performance(including Sharpe ratio, Treynor ratio and Jensen a ),adjusted T-M model, Fama's decomposition of over-returns and the two- way tables. The conclusions we draw are as follows:
(1) In terms of weekly average yield without risk-adjustment, the aggregate performance is superior to the benchmark at all stages, and is higher than the non-risk yield when the market is booming, while lower in the depressed market.
(2) The proportion of non-system risk in aggregate risk is a bit high and the diversity degree of portfolio is low, so it's proper that we select Sharpe ratio as the primary evaluation index. If we do so, Chinese funds performance is superior to the benchmark, which somewhat means that the market efficiency is not optimistic.
(3) There is no significant difference in funds performance in terms of different size and different Asset Management Company.
(4) With the adjusted T-M model, we find that ,during the whole research period, the funds show no positive ability of market timing. On the contrary, some funds show negative market timing ability. We can also find that Chinese funds have no preference for the stock size, but tend to invest those stocks, which have potential growth.
(5) Most funds have demonstrated the significant ability of securities selecting during the whole period. When looking into the proportion of over-returns in Chinese funds, we find that the yield of securities selecting accounts for heavy weight and the yield is realized by the net yield of securities selecting.
(6) In short terms the performance of most funds is persistent, but it's not significant in statistic.
As we can see, Chinese funds achieve more yield than the benchmark, but have no positive ability of market timing and the performance is not persistent significantly. Besides the general factors issued before, we place emphasis on the market situation, the investment style of funds and the manager factors.
With the empirical results and factors, we give some suggestions for the health development of Chinese funds accordingly and look forward to the future research.
针对目前我国基金业绩相关研究存在市场指数基准有缺陷、样本基金太少、样本时期太短以及缺乏分阶段动态分析等问题，本文根据中信相关指数设计了符合我国基金特色的基准组合，对33只封闭式基金在2000．01-2003．06包含市场上涨及下跌的期间进行实证研究。研究路线上，本文运用风险调整后的收益指标(Sharpe指数、Treynor指数、Jensen指数)、修正的T—M模型和Fama的超额收益分解以及双向表分别对基金业绩的大小、构成及持续性进行分析，实证得出如下结论：
(1)以未经风险调整的周平均收益率为评价指标，在市场上涨时期基金整体取得了高于无风险的业绩并且优于市场基准组合，而在在市场下跌时期基金未取得超过无风险利率的收益，但是基金业绩仍优与市场基准组合。
(2)我国基金的非系统风险在总风险所占比重较大，基金组合的多样化程度较低，因此目前以总风险调整为基础的Sharpe指数来评价我国基金的业绩比较合适。如果以Sharpe指数为基金业绩评价指标，我国基金业绩在总体上要优于市场基准，这在一定程度上也说明我国证券市场效率不够高。
(3)不同规模、不同基金管理公司之间业绩差别在统计意义上均不具有显著性。
(4)修正的T—M模型实证结果表明我国证券投资基金在包含市场上升和下跌的整个区间，整体上不具有市场时机选择能力，相
反，个别基金具有负的市场时机选择能力。同时结果表明我国证券
投资基金对于大盘股和小盘股之间的偏好各不相同、但整体较倾向
于选择成长性的股票。
(5)在整个考察期内，大部分基金具有显著的证券选择能力，
同时从构成总超额收益的比重来看，绝大部分基金证券选择收益率
对超额收益率的贡献占主要部分，进一步分析得知证券选择收益率
又主要是通过证券净选择收益率来实现。
(6)大部分基金业绩在短期内表现出一定的持续性，但整体在
统计上不具有显著性。
可以看出，我国证券投资基金虽然在整体上业绩超过市场基准，
但不具备明显的择时能力并且业绩持续性能力不显著，业绩不稳
定。究其原因，除了常见的基金组织结构、机制不完善及政策因素
外，本文重点从市场客观原因、基金投资风格及基金经理人因素来
解释。
结合实证结果和相关原因，我们对发展我国证券投资基金提出
了若干建议，并在本文结束之前对本文研究存在的局限性及今后需
进行的工作给予展望。
With the continuous establishment of new funds and the super development of funds industry in our country, properly inspecting, analyzing and evaluating funds performance is becoming more and more important. Under the background, the paper tries to describe and analyze the performance of Chinese security investment funds at different stage from different angels as far as possible. On the basis of the ways of performance evaluation in the developed countries, we hope to sum up some characteristics of Chinese funds and give some useful references to the relevant investors, supervisors, asset management companies and the development of funds industry.
As there are some deficiencies in related research on the performance of Chinese funds, such as benchmark, the number of selected funds and the period, we design appropriate benchmark on the basis of relevant Citic Index, select 33 close funds and demonstrate empirical research during the period from Jan, 2000 to Jun, 2003 .Within the period, the stock market has gone up and fell down. On the research route, we analyze the performance in terms of the ability, the component and the performance persistence respectively. The indexes we employed are the risk-adjusted performance(including Sharpe ratio, Treynor ratio and Jensen a ),adjusted T-M model, Fama's decomposition of over-returns and the two- way tables. The conclusions we draw are as follows:
(1) In terms of weekly average yield without risk-adjustment, the aggregate performance is superior to the benchmark at all stages, and is higher than the non-risk yield when the market is booming, while lower in the depressed market.
(2) The proportion of non-system risk in aggregate risk is a bit high and the diversity degree of portfolio is low, so it's proper that we select Sharpe ratio as the primary evaluation index. If we do so, Chinese funds performance is superior to the benchmark, which somewhat means that the market efficiency is not optimistic.
(3) There is no significant difference in funds performance in terms of different size and different Asset Management Company.
(4) With the adjusted T-M model, we find that ,during the whole research period, the funds show no positive ability of market timing. On the contrary, some funds show negative market timing ability. We can also find that Chinese funds have no preference for the stock size, but tend to invest those stocks, which have potential growth.
(5) Most funds have demonstrated the significant ability of securities selecting during the whole period. When looking into the proportion of over-returns in Chinese funds, we find that the yield of securities selecting accounts for heavy weight and the yield is realized by the net yield of securities selecting.
(6) In short terms the performance of most funds is persistent, but it's not significant in statistic.
As we can see, Chinese funds achieve more yield than the benchmark, but have no positive ability of market timing and the performance is not persistent significantly. Besides the general factors issued before, we place emphasis on the market situation, the investment style of funds and the manager factors.
With the empirical results and factors, we give some suggestions for the health development of Chinese funds accordingly and look forward to the future research.
引文
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[2] 证券业协会，证券、基金从业人员资格考试统编教材，上海财经大学出版社，2003
[3] 袁文平主编，投资基金—理论、实务、管理比较，四川西南财经大学出版社，2000
[4] 厉以宁、曹凤岐，跨世纪的中国投资基金业，北京经济科学出版社，1998
[5] 陈宪等，投资银行实务：基金与组合投资，立信会计出版社 1998：149
[6] 李翔，新基金运作评价及其投资行为创新，99中国证券投资基金分析年会论文集(深圳)，1999
[7] 贺绍奇，证券投资基金的法律透视，北京人民法院出版社，2000
[8] 国务院“证券委”，证券投资基金管理暂行办法，1997
[9] 哈利．M．马可维兹，朱菁，欧阳向军译，资产组合选择和资本市场的均值—方差分析，上海：上海三联书店、上海人民出版社，1999：20-23
[10] 滋维博迪，亚历克斯凯恩，艾伦．J．马库斯，朱宝宪，吴洪，赵冬青等译，投资学，北京：机械工业出版社，2000
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[12] Sharpe, Mutual Fund Performance, Journal of Business, 1966,(39):119-138
[13] Jensen, The Performance of Mutual Funds in the Period 1945-1964[J], Journal of Finance, 1968,(23): 389-416
[14] 小詹姆斯．L．法雷尔，沃尔特．J 雷哈特，齐寅峰等译．投资组合管理—理论及应用 北京：机械工业出版社，2000
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[17] Treynor and Mazuy, Can Mutual Funds Outguess the Market? [J], Harvard Business Review, 1966,(44): 131-136
[18] Admati, Anatr, Stephen A. Ross, Measuring Investment Performance on Timing and Selectivity[J], Journal of Fnance, 1986, (48): 715-730
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[62] 相关报纸：中国证券报 上海证券报 证券日报 21世纪经济报道 经济观察报
[63] 相关网站：www.sse.com.cn www.kinghing.com www.goldtrust.com.cn www.askgtja.com www.drcnet.com www.xsdzq.cn www.cnnewspaper.com www.citicindex.com
[2] 证券业协会，证券、基金从业人员资格考试统编教材，上海财经大学出版社，2003
[3] 袁文平主编，投资基金—理论、实务、管理比较，四川西南财经大学出版社，2000
[4] 厉以宁、曹凤岐，跨世纪的中国投资基金业，北京经济科学出版社，1998
[5] 陈宪等，投资银行实务：基金与组合投资，立信会计出版社 1998：149
[6] 李翔，新基金运作评价及其投资行为创新，99中国证券投资基金分析年会论文集(深圳)，1999
[7] 贺绍奇，证券投资基金的法律透视，北京人民法院出版社，2000
[8] 国务院“证券委”，证券投资基金管理暂行办法，1997
[9] 哈利．M．马可维兹，朱菁，欧阳向军译，资产组合选择和资本市场的均值—方差分析，上海：上海三联书店、上海人民出版社，1999：20-23
[10] 滋维博迪，亚历克斯凯恩，艾伦．J．马库斯，朱宝宪，吴洪，赵冬青等译，投资学，北京：机械工业出版社，2000
[11] Treynor, How to Rate Management Investment Funds[J], Harve Business Review, 1965, (43): 63-75
[12] Sharpe, Mutual Fund Performance, Journal of Business, 1966,(39):119-138
[13] Jensen, The Performance of Mutual Funds in the Period 1945-1964[J], Journal of Finance, 1968,(23): 389-416
[14] 小詹姆斯．L．法雷尔，沃尔特．J 雷哈特，齐寅峰等译．投资组合管理—理论及应用 北京：机械工业出版社，2000
[15] Modiglian, Franco and Leah Modiglian. Risk-Adjusted Performance[J], Journal of Portfolio Management, 1997, (winter): 320-338
[16] Katerina Simons, 'Risk-Adjusted Performance of Mutual Funds' [J], New England Economic Review, September/October 1998: 33-48
[17] Treynor and Mazuy, Can Mutual Funds Outguess the Market? [J], Harvard Business Review, 1966,(44): 131-136
[18] Admati, Anatr, Stephen A. Ross, Measuring Investment Performance on Timing and Selectivity[J], Journal of Fnance, 1986, (48): 715-730
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[62] 相关报纸：中国证券报 上海证券报 证券日报 21世纪经济报道 经济观察报
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