封闭式基金与开放式基金绩效对比的实证研究

An Empirical Study on Comparative Performance of the Closed-Ended Funds and Open-Ended Funds

摘要:

近年来我国新设立的开放式基金远远多于封闭式基金。在数量迅速增长的情况下，开放式基金能否取得优于封闭式基金的绩效受到市场的普遍关注。本文选取了发行时间较早，发行规模超过20亿的15只封闭式基金和15只开放式基金，从收益率、风险调整后的绩效和选股择时能力三个方面比较了2006年1月6日至12月29日共49周开放式基金与封闭式基金的绩效。实证结果显示，封闭式基金在平均收益率和收益风险比上略高于开放式基金，但在选股和择时能力上并不存在显著的差异。

Abstract:

In recent years,the number of newly established open-ended funds in China is far more than that of closed-ended funds. Under the rapid growth of the quantity,whether open-ended funds can achieve the superior performance than closed-ended funds has attracted a lot of at tention. This paper selects 15 closed-ended funds and 15 open-ended funds,which had been issued earlier and the scale of the issuance is more than two billion. Compared open-ended funds performance of forty-nine weeks, from January 6,2006 to December 29,2006 ,with that of closedended funds in three aspects which are the yield, the risk-adjusted performance and the capabilities of stocks-selection and market-timing. The empirical results show that the closed-ended funds are higher than open-ended funds in the average rate of return and the risk/profit ratio. However,in selecting stocks and market-timing ability,there is no signific