我国开放式基金绩效评价的实证分析.pdfVIP

要 近年来，随着我国基金业尤其是开放式基金的快速发展，越来越多的注意力 集中到开放式基金的业绩表现上，一个科学合理的基金评价体系也就越来越重要。 本文在对国内外基金评价体系进行比较之后，结合我国实际市场状况，在我国存 续期超过3 年的基金中选取了10 只进行绩效评价的实证分析，为今后进一步的研 究提供阶段性的结 和建议。 本文主要用股票持仓指标、集中度指标等评价样本基金的投资风格；用收益 率指标和风险调整收益指标 （夏普指数、特雷诺指数和詹森指数）衡量基金的业 绩表现；用T-M 和 H-M 模型等方法对基金经理的选股择时能力、基金的绩效归属 和基金业绩的持续性进行分析。实证研究的结 有：（1）10 只样本基金中，有 5 只成长型基金，3 只平衡型基金，2 只价值型基金；（2）开放式基金的业绩平均水 平超过市场基准组合的业绩水平，可见其通过专家理财战胜了市场；（3）我国部 分基金经理具备一定的选股能力和择时能力，但是基金的收益多来自于市场收益， 而非基金经理的高超技能；（4）样本基金的业绩在短期内并不具有持续性，长期 业绩则存在一定的持续性。 总体上看，我国开放式基金在样本期间的表现较好，但是在证券选择能力、 时机把 能力和风险控制等方面仍然存在不足，本文最后对促进我国开放式基金 的发展和基金评价体系的完善提出了相关建议。 关键词：开放式基金 收益 风险 绩效评价 选股能力 1 Abstract With the rapid development of Chinese fund industry,open-end funds especially, in recent years, more and more attention is paid to the performances of open-end funds.As a result, its more and more important to build a social and reasonable measuring system of funds. After comparing the domestic and foreign assessing system of funds, this text combines the actual situation of our country, selects 10 open-end funds from those that carried on more than 3 years and take an empirical analysis of the performance-assessing,of which the result could offer staggered conclusion and suggestion for further research. This text mainly adopts indexes such as stock-holding and concentration degree to confirm the investing styles of sample funds. Then the yield indexes and risk-adjusted returns indexes such as sharpe ratio, Treynor index and Jensen index are adopted to measure the performance of sample funds.What is more, series of methods such as T-M model and H-M model are used to analyse the managers ability of selecting stocks and time,the source of the fund performance, and the achievement constant ability. The conclu