摘要
最近几年,随着我国开放式证券投资基金业迅速繁荣,国内学者对基金绩效评价的方法进行了积极的理论探索和实证研究,但总体而言,还处于较为落后的状态。另外,国内研究人员采用的评价方法仍然局限在传统的基金绩效评价指标,这些方法在我国的适用性一直受到理论界和实务界的质疑。因此用适当的指标或模型对我国开放式基金绩效进行评价具有重要的理论与实践方面的意义。本文结合已有评价指标的优缺点,构建了新的评价指标,以期为现有评价理论作出新的补充,为其他研究该方面理论的人员提供新的有价值的视角。同时通过本文客观的绩效评价,以满足投资者、基金公司、监管层等各方面的不同需求。
本文归纳了基金绩效评价的相关理论和研究文献,分析和总结了各方法的联系、区别以及优缺点;通过比较分析几种经典的风险调整收益指标理论,同时结合我国资本市场的实际情况,兼顾投资者的投资心理及风险偏好,在Sharp比率和绍坦诺比率的基础上,构建了对基金整体绩效评价的新指标。通过实证结果的对比,显示出新指标较好的稳定性和合理性;运用国外适用开放式基金评价的经典模型评价了基金经理的选股能力和市场时机的把握能力,为基金公司的管理决策提供重要的依据;采用了评价单只基金绩效持续性的多元线性回归模型,将子期分为四个序列,分别使用了未经风险调整的收益、Jensen指数和新指标SSR作为回归的收益值,进一步考察模型和新指标的特性和应用效果。
In recent years, with the rapid progress of the open-end investment funds in China, domestic scholars are exploring the theory and empirical research on fund performance evaluation methods. However, the research is still backward. More importantly, the evaluation methods adopted are limited in the range of traditional indexes, and the applicability always meets doubts in China. Thus, it has the theoretical and practical significance for one to use suitable indexes or models. The author combines the merits and shortcomings of the existed evaluation methods, and constructs a new index as the supplementation and a valuable view of the research. Simultaneously, the empirical research in this paper would satisfy the different demands of investors, fund companies and supervision staffs.
In this paper, firstly, the author makes a new summary of research papers on fund performance evaluation, and analyzes the connection, difference, strong and weak points. Secondly, she makes a comparison of the theory of several classical risk-adjusted return indexes, combines the capital market in China, and considers risk preference and investing psychology. A new index is set up, say SSR Index on the basis of Sharp Ratio and Sortino Ratio. The results show that it has stability and rationality. Thirdly, she applies foreign classical models for open-end fund to evaluate the capability of stock selection and market timing, which would provide important evidences for fund managers' decision-making. Finally, a multiple linear regression model for performance persistence of a single open-end fund is adopted with four different periods and three forms of return for regression, which are non risk-adjusted return, Jensen Index and the new index, SSR Index, so that the characteristics and application effects of the model and the new index will be displayed.
引文
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