CAJ | 학술논문

运用Fama－French模拟来区分运气和投资管理技能，对我国有5年以上收益率数据记录的积极管理型基金的业绩进行评价分析，结果发现：部分基金的超常业绩不能用运气解释，而应该归因于经理的技能，即有部分基金经理确实具有可以战胜市场、获得超额收益的投资管理能力。
운용Fama－French모의래구분운기화투자관리기능，대아국유5년이상수익솔수거기록적적겁관리형기금적업적진행평개분석，결과발현：부분기금적초상업적불능용운기해석，이응해귀인우경리적기능，즉유부분기금경리학실구유가이전성시장、획득초액수익적투자관리능력。
This paper applies a new bootstrap statistical technique introduced by Fama and French to exam -ine the performance of the Chinese open-end, domestic equity mutual fund industry with 3-factor alpha as the measure of performance .The result shows that half of the funds which have history of more than 5 years of yield data recording expected returns more than sufficient to cover their costs and there is evidence of superi -or performance ( non-zero true alpha ) come from manager ’ s skill rather than luck .