摘要
本文实证研究了开放式股票型基金净值家族同步性与基金能力（业绩、择时择股）、净值暴跌风险之间的关系,并据此构造了FOF策略。在控制了不同层面的影响因素后,研究发现：基金净值家族同步性越强,其业绩越差,净值暴跌风险越大,这主要是因为其择时能力太差,且择股能力也较差;在基金家族里,净值家族同步性越强的基金,其主动投资能力越差,本文据此构造了FOF策略,可获得9.6%的年超额收益。本文的结论对于基金投资,基金评价,FOF策略构造具有重要借鉴意义。
This paper investigates the relationship among the equity-fund＇s netvalue synchronization with its family,fund＇s risk and capability（performance,timing,stock-picking ability）,and we construct a FOF strategy accordingly.After controlling variables at different levels,the study indicates that：the stronger fund＇s netvalue synchronization with its family,the worse performance and more crash risk of the fund;the stronger synchronization with family indicates fund＇s worse timing ability and bad stock selection.In a fund-family,the stronger synchronization with its family,the worse capacity of the fund.Accordingly,we construct a FOF strategy,which can obtain high excess return.Our conclusion is of great significance to fund evaluation,fund manager and fund investor.
作者
于瑾
侯伟相
江萍
Yu Jin;Hou Weixiang;Jiang Ping(School of International Trade and Economics, University of International Business and Economic)
出处
《金融学季刊》
CSSCI
2018年第1期51-80,共30页
Quarterly Journal of Finance
关键词
FOF策略
净值家族同步性
基金业绩
择时择股能力
净值暴跌风险
FOF Strategy Fund＇s Netvalue Synchronization with Family FundPerformance Timing and Stock Selection Ability Crash Risk
