基金资产配置的行业选择与基金业绩——基金经理投资能力的新证据被引量：6

Industry Selection for Fund Asset Allocation and Fund Performance: New Evidence about the Investment Ability of Fund Managers

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摘要基金经理是否具有行业选择能力,是研究基金经理投资管理能力的重要内容。基金股票组合的行业集中度能够度量基金股票组合的行业配置比例偏离市场组合的行业市值比例的程度,能够反映基金经理投资过程中的行业选择行为。对中国积极管理的股票型基金的实证结果表明,基金经理对行业的主动选择并未带来更高的超额收益,基金经理整体上没有行业选择能力。运用Grinblatt和Titman提出的GT指标在单只基金层面基础上对基金经理行业选择能力的研究,也发现基金经理整体上并不具有行业选择能力。 Active fund managers can exhibit their investment ability through stock selection, market timing and industry selection. Portfolio industry concentration can reflect the industry selection behavior of fund manager. The empirical analysis on the open-end equity fund in China shows that fund manager＇ s active selection of portfolio industry allocation can not bring about better fund performance. Thus fund managers have no industry selection ability. Moreover, the analysis by applying the Grinblatt and Titman＇ s GT measure to individual fund do not support that managers have industry selection ability.

作者廖长友

机构地区西华大学管理学院西南财经大学工商管理学院

出处《重庆大学学报（社会科学版）》 CSSCI 北大核心 2013年第4期53-60,共8页 Journal of Chongqing University(Social Science Edition)

关键词资产配置行业集中度基金业绩 GT指标 asset allocation industry concentration fund performance GT measure

分类号 F830.9 [经济管理—金融学]

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