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基于传统的定价模型计算超额收益的方法,并不能排除那些仅仅因为运气因素而显得创造了超额收益的基金。本文应用“False Discovery Rate”(FDR)的统计方法研究中国基金在调整运气成分后的真实业绩。实证发现:过去十年中,我国开放式基金的业绩更像“运气成分”的镜像。在调整运气因素后,仅有7.9%的基金真正能够为投资者创造价值。在业绩出色的基金中,有65.8%都是由于运气而非自己的能力,然而在业绩较差的基金中,有37.6%是由于运气不佳所致。本文还发现,基金家族是影响基金业绩的一个重要因素。根据基金家族规模和其他基金特征,我们可以比较有效地选择出那些在剔除了“好运”后,仍真正有能力为投资者创造价值的基金。
The method of calculating excess returns based on the traditional pricing model does not preclude those funds that appear to have generated excess returns solely because of luck. This paper uses the statistical method of “False Discovery Rate” (FDR) to study the real performance of Chinese funds after adjusting their luck components. The empirical findings show that in the past ten years, the performance of China’s open-end funds is more like the image of “luck component”. After adjusting for luck, only 7.9% of the funds really create value for investors. Of the outstanding performance of funds, 65.8% are due to luck rather than their own ability, but in the poor performance of the fund, 37.6% is due to poor luck. This article also found that the fund family is an important factor affecting the performance of the fund. Depending on the size of the fund’s family and other fund characteristics, we can more effectively select those funds that are truly capable of creating value for investors after we have eliminated “Good Luck”.