中国开放式股票型基金管理实力的实证研究

Skills of Fund Managers—Evidence from China’s Open-Ended Equity Funds

摘要: 本文采用自助法构造模拟收益空间用以区分影响基金收益的管理实力和运气，从而评价中国开放式股票型基金的实际管理水平。实证结果表明我国基金管理人具有一定程度的主动管理能力，具体在394只样本基金中，风险调整收益率排位前60%的基金管理人均在95%的置信水平下依靠其非偶然性管理能力为基金创造了超额收益。此外按基金规模分组研究显示，大型基金管理人的实际管理水平显著高于小型基金，而小型基金业绩则更多依赖运气。

Abstract: When factor model is applied to evaluate skills of fund managers, it fails to identify those skills apart from the influence of sampling variation. This paper applies bootstrapping methodology to analyze the managerial stills free from luck based on 394 open-ended stock funds in China’s market. The empirical test shows that managers of funds ranked on the top 60% possess skills to elevate the performance. Furthermore, it turns out that the managers of large-size funds hold better managerial skills than those of small-size funds, and earn higher returns.