投资学课程论文 中国开放式基金的业绩持续性研究 廖晶晶 17210680119 摘要:本文采用业绩二分法和构造投资组合的方法,对2013-2017年期间存 续时间超过2年的中国开放式股票型基金业绩是否存在持续性的问题进行研究 实证结果表明,在业绩二分法下,使用经詹森指数调整的年收益率时,基金持续 上涨或持续下跌的市场上表现出较为显著的业绩持续性。构造投资组合对我国股 票式基金业绩的表现的持续性进行硏究,并对基金不同时期表现出的业绩持续性 进行归因分析,发现髙风险的投资策略和持续上涨的市场是我国股票式基金 2013-2015年业绩持续性的来源 关键词:股票型基金;业绩持续性:业绩二分法:业绩归因 Research on the performance Persistence of Chinese Open-ended Funds Abstract: This paper uses the method of performance dichotomy and constructs investment portfolio to study the performance persistence of Chinese open-ended equity fund lasting over past 2 years in 2013-2017. Empirical results show that under the method of dichotomy, using the annual rate of return adjusted by Jensens alpha, the fund continued to rise or continue to decline in the market showed significant performance persistence. By constructing the investment portfolio, we find that high-risk investment strategy and the bull market attributes to performance persistence in 2013-2015 Key words: Equity fund; Persistence of fund performance, Fund invest style; Performance attribution投资学课程论文 2 中国开放式基金的业绩持续性研究 廖晶晶 17210680119 摘要：本文采用业绩二分法和构造投资组合的方法，对 2013-2017 年期间存 续时间超过 2 年的中国开放式股票型基金业绩是否存在持续性的问题进行研究。 实证结果表明，在业绩二分法下，使用经詹森指数调整的年收益率时，基金持续 上涨或持续下跌的市场上表现出较为显著的业绩持续性。构造投资组合对我国股 票式基金业绩的表现的持续性进行研究，并对基金不同时期表现出的业绩持续性 进行归因分析，发现高风险的投资策略和持续上涨的市场是我国股票式基金 2013-2015 年业绩持续性的来源。 关键词：股票型基金；业绩持续性；业绩二分法；业绩归因 Research on the Performance Persistence of Chinese Open-ended Funds Abstract：This paper uses the method of performance dichotomy and constructs investment portfolio to study the performance persistence of Chinese open-ended equity fund lasting over past 2 years in 2013-2017. Empirical results show that under the method of dichotomy, using the annual rate of return adjusted by Jensen’s alpha, the fund continued to rise or continue to decline in the market showed significant performance persistence. By constructing the investment portfolio, we find that high-risk investment strategy and the bull market attributes to performance persistence in 2013-2015. Key words: Equity fund; Persistence of fund performance; Fund invest style; Performance attribution