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采用新的计量检验方法来评估中国开放式基金的绩效是否具有统计上的显著性。为避免数据窥察所造成的推断错误,采用SPA逐步检验法(Step-SPA)来重新检验具有显著绩效的开放式基金。研究显示,2006-2010年间,若以月平均收益率作为绩效评价标准,中国开放式基金中没有任何一只基金显著地高于沪深300指数等表示的大盘收益率;只有6只基金的夏普指数在10%的显著性水平上超越大盘夏普指数;当绩效比较标准为三因子模型中的超额收益率时,仅有约7%的基金存在显著的超额收益率。
A new metrological test was used to assess whether the performance of China’s open-end funds is statistically significant. To avoid inferred errors caused by data snooping, Step-SPA was used to re-examine open-ended funds with significant performance. Research shows that from 2006 to 2010, if the average monthly return as the performance evaluation criteria, there is no fund in China’s open-end funds is significantly higher than the Shanghai and Shenzhen 300 index, which indicated the broader market yield; only 6 funds Sharp The index outperformed the broader market Sharp at 10% significance level; only about 7% of the funds had significant excess returns when the performance benchmark was excess return in the three-factor model.