图表内容
图6:基于基金经理能力和不使用定价模型的先验分布结果
Table 5. Portfolios under priors for fund manager skill and without use of a pricing mode
1E-13
1E-10
1E08
Panel A optimal portfolio
0.0785
0.1078
alue funds 3-month return
0.0920
Growth funds 6-month return
0.0478
0.0501
0.0297
Balanced funds 6-month return
0.1389
0.1313
0.1089
0.090
portfolio for the universe that exclude the funds in the a
portfolio
Growth funds 3-month return
0.0273
0.0465
Balanced funds 3-month return
0.1023
0.0513
alue funds 3-month return
0.0418
0.0181
Growth funds 6-month return
0.0189
0.0189
0.0246
alanced funds 6-month return
0.0632
0.0660
Value funds 6-month return
The investment universe consists of 218 growth funds
309 value funds
and 187 balanced funds with at least 3 years or
enum history. We give the portfolios for CAPM and the three-factor model under 12 different prior beliefs. This strategy
ily data to evaluate the posterior alpha values of the past nine quarters
forms the fund
time series
and builds the portfolio on the basis of the steps described in this article.
资料来源: nesting
k: Evidence from china
天风证券研究所
