中国股票型开放式基金绩效评价的实证分析.pdfVIP

摘 要 但只有少数基金的选股能力指标在较高的水平下显著，同样也只有少数基金表现出了较 高的择时能力，但没有一只基金在评价期内同时表现出显著的选股能力和择时能力。本 文采用绩效二分法对样本基金整体的绩效持续性进行了实证分析。结果表明，样本基金 整体上只在近一两年的某些时段里表现出了一定的绩效持续性。 第四部分概括了本文的主要观点和结论，并对投资者、基金管理公司和监管部门分 别提出了针对性的建议。另外，以往的同类文章对下方风险理论的研究还比较少，本文 则对此进行了着重研究和实证分析。结果表明，下方风险指标对基金所承受风险的衡量 更为科学合理，进而建立在其基础之上的基金绩效评价指标相对于其它指标而言具有明 显的优势。因此，本文建议在今后的理论研究和实际应用中对该方法应给予更多的关注。 最后，作者对进一步的研究工作提出了展望。 关键词 股票型开放式基金 历史绩效评价 选股择时能力 绩效持续性 II Abstract Abstract The rapid development of securities investment fund gave birth to the research about the fund performance evaluation theories. And the development of the fund performance evaluation theory, in turn, had played a significant role in promoting the healthy development of the open-end fund industry. Now the open-end funds have become the mainstream of securities investment funds. And the stock open-end fund is not only an important part of open-end fund, but also the main investment products to most fund investors. Therefore, evaluating to its performance was made the purpose of this paper. And to the guidance of “Interim Measures on Evaluation of Securities Investment Fund” which was into effect on January 1, 2010, this paper selected samples for empirical analysis. This article was divided into four parts: The first part of this paper explained the related concepts and described the research background, purpose and meaning, and the recent status, the contents of this paper, methods and major innovation points and so on. As a starting point, this part introduced that this paper will based on previo