New model to detect tendency timing ability of mutual fund managers
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摘要:
Monte Carlo 模拟表明传统检验基金经理时机选择能力模型,如Treynor2Mazuy 模型和 Henriksson2Merton 模型无能为力. 通过分析传统方法的缺陷,提出了检验基金经理波段时机选 择能力模型. 模拟显示,新模型能较好地检测基金经理的“波段操作能力”. 模型只需要基金净 值的收益数据,就可以衡量在大盘经历比较大的转折时,基金经理能否对市场在未来一段时期 内波动方向进行预测,通过购买低或高β值的资产调整其资产组合的β值,以便更好把握市场 时机,得到高的收益.
Abstract:
We present some shortcomings about the traditional models evaluating the timing ability of mutual fund managers and propose a new model to evaluate the mutual fund managers’timing ability to tendancy change. Using this model and net asset value data , we can perceive whether the mutual fund managers can predict the future mov2 ing direction of the market when it experiences a significant tendancy change. Monte Carlo simulations indicate that our model does fulfill its task while other traditional models such as Treynor-Mazuy model and Henrikson2Merton model fail . Applying our approach to empirical study of the Chinese mutual funds , we get some interesting facts about the Chinese mutual fund managers