【摘要】：通過(guò)Sharpe基金風(fēng)格模型明確基金實(shí)際風(fēng)格,并利用中信風(fēng)格指數(shù)將Fama-French"三因素"模型應(yīng)用于基金的績(jī)效評(píng)價(jià)。在對(duì)30只基金兩年周收益率數(shù)據(jù)進(jìn)行實(shí)證研究后,結(jié)果顯示FF模型3個(gè)系數(shù)顯著性良好,基金風(fēng)格特征得以表現(xiàn);且FF模型更加準(zhǔn)確,擬合程度較單因素模型有較大提高;同時(shí)單因素和FF"三因素"模型的Jenson指數(shù)說(shuō)明基金具有獲得超額收益率的能力。
[Abstract]:The actual style of the fund is defined by the Sharpe fund style model, and the Fama-French "three factors" model is applied to the performance evaluation of the fund by using the CITIC style index. After the empirical study on the data of the two year weekly rate of return of 30 funds, the results show that the FF model has significant three coefficients, and the fund style features can be shown, and FF model is more accurate, and the fitting degree is much higher than that of the single factor model. At the same time, the Jenson index of single factor and FF's "three factors" model shows that the fund has the ability to obtain excess rate of return.
【作者單位】： 華南師范大學(xué)經(jīng)濟(jì)管理學(xué)院;
【分類號(hào)】：F224;F832.51

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