证_券投资基金的选择与风险评价研究硕士学位论文.doc

摘 要 随着我国经济的大步前进，老百姓的生活水平越来越高，可支配收入越来越多，人们的理财意识也就越来越强，而证券投资基金作为一种利益共享、风险共担、专家投资的集合证券投资方式，受到了有资金、无时间、证券投资知识相对较弱的人们的喜爱。本文正是出于这样的考虑，以中小个人投资者为说明对象，从基金业绩评价中最受大众关注的风险收益评价方面来阐释选择证券投资基金、对中小投资者较具实际意义的方法技巧。为了达到上述目的，并结合我国证券投资基金市场的发展，本文选用了现今市场上运用较多、较为简单、个人投资者较易掌握的、也是西方证券投资理论中经典的三大风险收益评价指数来展开，这三大经典风险收益评价指数即特雷诺指数、夏普指数及詹森指数。 本文以证券投资基金的风险收益评价为主线，首先说明了在股票、债券和证券投资基金三大证券投资方式中选择证券投资基金的理由，然后介绍了证券投资基金的风险及三大风险收益评价指数，最后通过实证分析和对三大指数的改进给个人投资者提出了一些选择证券投资基金的建议，这些建议主要是从三大风险评价指数的实际操作即技术层面提出的建议，包括如何选择意向基金、基金考察期及市场基准的确定，关注意向基金的往期业绩、运用三大指数出现偏差时的解决方法；还有从投资者意识层面提出的建议，包括要有充分耐心，灵活使用基金转换，可选择基金定投以及基金管理人的选择方面的建议。另外，为了让个人投资者能在更稳定、安全的市场环境中投资，本文对我国基金业的发展提出了一些建议，主要是从基金创新、管理制度、基金管理人专业技能、监管机制方面来考虑从而提出了七大建议。 关键词：证券投资基金、风险收益评价、特雷诺指数、夏普指数、詹森指数 ABSTRACT With China’s economic marching forward, the living standard of people is more and more high, their consciousness about finance is more and more strong, securities investment fund is popular with people who have capital, no time and relatively weak knowledge of investment as a investing way that is interest shared, risk shared and operated by experts. Under such consideration, this article aims to illustrate how to select better fund from the evaluation of risk and income, which is most concerned in the performance appraisals of fund to individual investors. In order to achieve above aim, and combined with the development of China’s securities investment fund market, this article adopts three risk and income index which are simpler, easier to learn to individual investors and classical in western securities investment theory, that is, Treynor index, Sharp index and Jensen index. Firstly, this article explains the reason that I prefer choosing securities investment fund to stock and bond; then introduces the risk of securities investment fund and three risk index; Lastly, gives individual investors some advices to select fund through empirical analysis. The advices are from the actual operation of three index, including how to choose intention funds, the determinatio