我国指数基金的需求分析和投资绩效管理研究

【作者】 郭飞；

【导师】 杨保建；

【作者基本信息】 昆明理工大学 ， 企业管理， 2001， 硕士

【摘要】 指数基金70年代最早出现在美国。90年代以来，指数基金以其优良的业绩吸引了大量的投资者，发展迅速。据统计，截止2000年底，仅以标准普尔500指数为基准的指数基金已达113只，基金资产已达1万亿美元，其中先锋标准普尔500指数更是以893.938亿美元净资产，位居世界第一。 99年下半年，基于我国宏观经济不断向好的趋势和大力发展机构投资者的需要，我国陆续上市了三只指数基金。为了适应中国证券市场的高系统风险和高特定公司风险的情况，这些指数基金被设计为优化型指数基金：50％的资产用于指数化投资，30％的资产用于积极投资，20％的资产用于购买国债。但本文的实证研究表明，优化型指数基金并未达到优化的目的，与一般积极型管理基金的业绩也有相当大的差距。 本文论述了指数基金的优点及其在我国的巨大的需求，用风险调整收益的方法揭示了优化型指数基金的业绩表现，分析了我国优化型指数基金业绩不佳的原因，提出了切实、可行的对策。更多还原

【Abstract】 Index funds first appeared in the 1970’s in U.S.A. Index funds attract many investors and develop rapidly in recent years for their good performance. It is summarized that there are 113 index funds based on S&P 500, total assets amount to 1 trillion, of which Vanguard S&P 500 Index Fund ranks first according to its net assets by the end of Year 2000. Three index funds were issued in later half year of 1999 on the base of China macroeconomics?rapid development and the need of development of institutional investors. In order to suit china security market (high systemic risk and high firm-specific risk), The index funds are designed optimized index funds: 50% percent assets are passively invested, 30% percent assets are actively managed, 20 percent assets are invested in public treasury bills and bonds. But the empirical results of the thesis show that optimized index funds are not optimized, and the gap between the performance of optimized index funds and that of actively managed funds is moderate. The thesis discusses the advantages of index funds and their huge need in china, reveals the poor performance of optimized index funds by using risk-adjusted performance appraisal methods, analyzes the causes and provides the feasible and practicable solutions.更多还原