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本文采集了19只基金2013年2月28日到2015年6月18日的日累计净值并以此计算出各基金的日回报率,通过采集到的中信标普风格指数建立Fama-French模型和Sharpe风格模型对基金投资风格进行分析并进行对比检验,确认后分类。利用CAPM模型对分类后的各组基金分别计算其超额回报率并进行比较,总结后发现在我国证券市场上投资小盘成长股能够最终取得超额回报率。最后再对每只基金的日收益率做CAPM回归,得到Jenson指数并与Fama-French模型进行参照对比,找出绩效最好的基金。结果显示样本基金几乎都不具有获得超额收益的能力,证明我国市场具有相对较高的有效性。
This paper collected 19 funds from February 28, 2013 to June 18, 2015 the cumulative net daily value and to calculate the daily rate of return of each fund, through the acquisition of the CITIC S & P style index to establish the Fama-French model and Sharpe style model of the fund investment style analysis and comparison test to confirm the classification. Using the CAPM model to calculate the excess return rate of each fund after classification and compare them, and then find out that investing small-cap growth stocks in China’s securities market can finally achieve excess return rate. Finally, the daily return of each fund to do CAPM regression, the Jenson index and Fama-French model with the reference comparison to identify the best performing fund. The results show that almost all of the sample funds do not have the ability to obtain excess returns, to prove that our market has a relatively high effectiveness.