【摘要】 目前我国常用的三大经典基金绩效考核模型都是以均值—方差CAPM模型为基础,而均值—方差CAPM模型中的系统性风险只考虑二阶矩风险即波动率,忽略了高阶矩风险。通过在传统CAPM模型中加入零成本的负协偏度投资组合和零成本的正协峰度投资组合作为高阶矩风险溢价可重新解释基金风险与收益间的平衡关系。研究结果显示,众多基金的投资组合中都存在负协偏度风险,基于高阶矩的考核模型优于基于传统CAPM的考核模型。更多还原

【Abstract】 In China today,the three commonly adopted classical models of fund performance measurement are all based on the mean-variance model of CAPM,which only takes account of second-moment volatility risk,i.e. rate of fluctuation,but ignores higher-moment risks. This paper argues that,by adding zero-cost negative coskewness portfolio and zero-cost positive cokurtosis portfolio as the resources of higher-moment risks to the traditional CAPM,the equilibrium between funds’ risk and returns can be reinterpreted. Our empirical studies indicate that there is a risk of negative coskewness in many of the Chinese funds’ portfolios and that the model of performance measurement based on higher-moments is better than those based on the traditional CAPM.更多还原