摘要
文章提出了一种量化基金行业配置能力的方法,通过构建基金重仓行业与股票行业涨跌复合指数DD,衡量历史数据中基金行业配置和股票行业涨跌的“合拍”程度。基于2017-2023年192支股票型主动基金数据,立足历史研究构建了基础模型,并将DD作为核心变量进行了面板回归分析。实证结果表明,板块配置能力与基金业绩呈显著正相关,使用双重固定效应模型能改进基础模型的解释力。文章的创新之处在于通过构建基金重仓行业与股票行业涨跌复合指数DD,量化了基金行业配置能力,为投资者提供了新的基金业绩评价视角。
The paper proposes a method to quantify the asset allocation expertise in fund management,which is to measure the historical synchronization efficacy between the asset allocation in fund management and the stock market dynamics by constructing the Composite Dual-driver Index(DD)encompassing fund concentration sectors and equity sector performance.Based on the data of 192 actively managed equity funds from 2017 to 2023,it constructs a base model through historical research,and then uses DD as the core variable for panel regression analysis.The empirical results show that the allocation ability of sectors is significantly positively correlated with fund performance,and the explanatory power of the basic model can be improved by using the double fixed-effect model.The innovation of this study is that it quantifies the asset allocation expertise in fund management by constructing the DD encompassing fund concentration sectors and equity sector performance,and provides investors with a new perspective of fund performance evaluation.
作者
王清
WANG Qing(School of Economics and Management,Lijiang Culture and Tourism College,Lijiang 674100,China)
出处
《商业观察》
2025年第19期108-112,共5页
BUSINESS OBSERVATION
基金
2024年丽江文化旅游学院校级科研项目(2024xyp03)。
关键词
主动型基金
股票基金
基金业绩
基金配置
重仓行业
actively managed funds
equity funds
fund performance
fund allocation
fund concentration sectors
