摘要
对证券投资基金进行科学合理的考核评估是保证基金业良性发展的前提与基础。客观的基金评价能为投资者提供准确的投资参考信息，引导其正确的识别基金的投资风格和投资价值；同时，客观的基金评价也能为基金管理公司的投资控制、人员激励和产品营销提供有利的信息支持，从而构建有效的投资与管理机制。
本文首先介绍了国外和国内证券投资基金业的发展历程和现实状况，并对自60年代以来国内外基金业绩评价研究理论的发展及评级体系作了一个详细的概述。这主要包括传统经典的单因素业绩评价指标、多因素业绩评价模型、基金经理人的时机选择和选股能力、基金业绩持续性的研究以及晨星公司的评级体系。
在此基础上，本文采用经典的Jensen alpha及T-M模型、H-M模型，并引入了基于主动投资风险度与风险价值调整后的两个Sharpe比率新指标，对我国证券投资基金在2001-2002年的绩效表现进行了较为全面的衡量。主要的结论如下：(1)在熊市中，基金组合显示出有较强的抗跌性；(2)我国证券投资基金普遍表现出负的时机选择能力和正的选股能力；(3)证券投资基金中非系统风险较大，基金组合的风险分散化程度较低。
Scientifically and rationally evaluating the performance of investment funds plays an important role in the healthy development of funds industry. Precise information reference can be brought to investors by objective performance evaluation, which may help them recognize the investment style and the value of investment funds. Meanwhile, objective performance evaluation may also provide useful information to fund institutions for investment control, human resources incentive and marketing promotion. And which will build an efficient system of investment and management.
To begin with, this paper presents the historical and current situation of fund industry both home and abroad. Then a detailed description about the theory of fund performance evaluation and the performance evaluation system is mad.e since 1960's, which contains the classical single performance evaluation ratio, the multifactor evaluation model, the timing ability & stock selecting ability of fund managers, the persistent of fund performance analysis and the morningstar evaluation system.
Under this analysis, we then provides an empirical analysis of the performance of 33 stock funds using not only classic mutual fund performance measures such as Jensen's measure, T-M model and H-M model, but also two new risk-adjusted ratio based on Active Risk or Value-at-Risk. The empirical evidence indicates china stock funds can surpass the benchmark in bear market, and our sample of stock funds possess positive, but small, selection abilities and negative timing abilities. The findings also prove many of the funds are not well diversified.
引文
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