股票型投资基金绩效的评价与研究word论文.docxVIP

关键词：证券投资基金、夏普指数，特雷诺指数IIPerformanceAppraisalandAnalysisofopen-endStockInvestmentFundMajor:MBAName:CuiLiqinTutor:Professor.FangGuangzhengAbstractMarch1998,thefirstclosedsecuritiesinvestmentfundswereissuedinChina,andsincethen China’ssecuritiesinvestment fund industryhasexperiencedaperiod of rapid growth.Theresearchon theperformanceappraisalofsecuritiesinvestmentfundisofcrucialsignificanceintheimprovement ofChina’ssecuritiesmarketsstructure,theenhancementofthemarketefficiencyandthepromotionof thesounddevelopmentofthesecuritiesmarkets.Thispaperconsistsof6parts.Thefirstpartincludestheresearchbackground,significanceandan overviewofthestudiesathomeandabroad.ThemainstreamfundappraisalmodelsincludingSharp Ratio,Treynor’sMeasureandInformationRatioareintroducedinthesecondpart.Thethirdpartis abouttheperformanceappraisalofequityfundsinbullmarket.Inordertoanalyzeobjectively,we selectaseriesofdataofequityfundsinalong wavemarketbeforeandaftertheyearof2007,calculate thecorrelationindex and analyzethevariationtrendandthecauseofit. Theperformanceappraisalof equityfundsinbearmarketandconsolidationmarketwillbedoneinthefourthandfifthparts respectively.Atlast,wemakechoiceoftheappraisalcriteriaoffundperformance,appraisethefund performanceusingthesampledata,andsummarizebriefly.Theinnovationsofthispapercan befoundintwoaspects. Thefirstoneisthecomprehensiveness ofappraisal.Theavailablestudiesalwaysdealwiththeperformanceappraisalinonetypeofmarket, whileweappraisethefundperformanceinallthreetypesofmarkets,whicharethebull,bearand consolidationmarket.Thesecondoneisthemethodoffactoranalysisweuse.Whentheavailable studiesonlyconducteconometricanalysisusingsampledata,weusefourfactorstoconduct performanceappraisalandanalyzemorethoroughlybyusingtwofactors:theequity-choosingfactor andthetimingfactor.IIIKeywords:SecuritiesInvestmentFund,Sharpeperformancemeasure, Treynorperformancemeasure,IV目录1．引言11.1研究背景及意义11.2 国内外相关文献研究回顾21.2.1国外文献回顾21.2.2国内文献回顾31.3研究思路和研究方法41.4本课题内容框架和创新点51.4.1内容框架51.4.2创新点62.基金绩效评价概述7