系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2006年
9期
26~32
,共null页
基金持股 评价基准 择股能力
基金持股 評價基準 擇股能力
기금지고 평개기준 택고능력
stock holdings; benchmark; stock selection ability
证券投资基金的业绩评价是一个在理论和实践中都十分有意义的课题．传统的回归型评价方法对评价基准有较强的依赖性，而基于持股数据的方法则因利用了较多的信息而对基金的择股能力有较强的识别力．利用基于持股数据的方法对中国54个封闭式基金的择股能力进行实证分析，结果显示它们有明显的择股能力．
證券投資基金的業績評價是一箇在理論和實踐中都十分有意義的課題．傳統的迴歸型評價方法對評價基準有較彊的依賴性，而基于持股數據的方法則因利用瞭較多的信息而對基金的擇股能力有較彊的識彆力．利用基于持股數據的方法對中國54箇封閉式基金的擇股能力進行實證分析，結果顯示它們有明顯的擇股能力．
증권투자기금적업적평개시일개재이론화실천중도십분유의의적과제．전통적회귀형평개방법대평개기준유교강적의뢰성，이기우지고수거적방법칙인이용료교다적신식이대기금적택고능력유교강적식별력．이용기우지고수거적방법대중국54개봉폐식기금적택고능력진행실증분석，결과현시타문유명현적택고능력．
Valuation of fund performance is always an important topic in both theory and practice. Traditional methods of valuation based on regression have high dependence on the benchmarks. However, the holding-based methods have more power to identify the stock selection ability of funds, because they use more information than regression methods. Using the holding-based method, we made an empirical analysis on the stock selection ability of 54 Chinese funds, our results show that they have significant stock selection ability.
