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文章利用比较成熟的单因素T-M模型和H-M模型,随机选取了16只开放式基金,以2008年5月5日～2009年9月1日间347个交易日的基金收盘净值数据为样本,以2008年11月7日为分界点,分为熊市和牛市两个时段,研究我国证券投资基金是否在此期间表现出较好的选股与择时能力。结果表明,少数基金具有较好的选股能力,但基金整体上择时能力较差。
Using the relatively mature single factor TM model and HM model, the article randomly selected 16 open-end funds, taking the net closing data of 347 trading days between May 5, 2008 and September 1, 2009 as samples, November 7, 2008 as the demarcation point, divided into two periods of the bear market and the bull market to study whether China’s securities investment funds during this period showed a good selection and timing ability. The results show that a handful of funds have good stock selection ability, but the overall ability of the fund is poor.