财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2013年
2期
34~39
,共null页
基金家族绩效 基金家族风险 面板数据模型
基金傢族績效 基金傢族風險 麵闆數據模型
기금가족적효 기금가족풍험 면판수거모형
Fund performance; Fund risks; Panel data model
以中国基金市场32家基金管理公司旗下的103只开放式偏股型基金作为样本,选择恰当的面板数据模型形式,分别建立金融危机之前、危机期间和危机之后三个时期基金家族绩效与风险关系模型,以剖析不同经济形势下两者之间的关系。结果表明,金融危机之前和危机期间基金家族绩效与风险显著负相关,而危机之后两者关系不显著,在金融危机期间和危机之后基金业绩效状况持续恶化,危机之后基金业整体风险水平降低;金融危机后,为弥补金融危机中造成的损失,各基金家族倾向于采取＂打造明星基金＂的投资策略以充分利用有限资源、提升家族整体绩效。
以中國基金市場32傢基金管理公司旂下的103隻開放式偏股型基金作為樣本,選擇恰噹的麵闆數據模型形式,分彆建立金融危機之前、危機期間和危機之後三箇時期基金傢族績效與風險關繫模型,以剖析不同經濟形勢下兩者之間的關繫。結果錶明,金融危機之前和危機期間基金傢族績效與風險顯著負相關,而危機之後兩者關繫不顯著,在金融危機期間和危機之後基金業績效狀況持續噁化,危機之後基金業整體風險水平降低;金融危機後,為瀰補金融危機中造成的損失,各基金傢族傾嚮于採取＂打造明星基金＂的投資策略以充分利用有限資源、提升傢族整體績效。
이중국기금시장32가기금관리공사기하적103지개방식편고형기금작위양본,선택흡당적면판수거모형형식,분별건립금융위궤지전、위궤기간화위궤지후삼개시기기금가족적효여풍험관계모형,이부석불동경제형세하량자지간적관계。결과표명,금융위궤지전화위궤기간기금가족적효여풍험현저부상관,이위궤지후량자관계불현저,재금융위궤기간화위궤지후기금업적효상황지속악화,위궤지후기금업정체풍험수평강저;금융위궤후,위미보금융위궤중조성적손실,각기금가족경향우채취＂타조명성기금＂적투자책략이충분이용유한자원、제승가족정체적효。
Selecting 103 open-ended equity mutual funds from 32 fund management companies in China as a sample,the respective the panel data models have been built to analyze the correlation between fund family performance and risk under different economic circumstances such as before,during and after the financial crisis.It is showed that firstly fund performance and risk are negatively related before and during the financial crisis,while they are not significantly related after the financial crisis.Secondly,fund performance continues deteriorating during and after the financial crisis,while the risk greatly decreases after the financial crisis.Thirdly,fund management companies tend to adopt ＂star fund creation plan＂ to increase performance after the financial crisis.
