【作者】 高鹏；

【导师】 王宗军；

【作者基本信息】 华中科技大学 ， 企业管理， 2004， 硕士

【摘要】 随着我国证券市场和基金业的飞速发展,基金的数量越来越多,规模越来越大,全面客观地评价证券投资基金的投资绩效变得越来越迫切和重要。其意义表现为增强基金投资者风险意识,保护投资者的利益,促进基金管理人的行业自律行为和基金业的健康发展。本文首先分析了证券投资基金绩效评价的重要意义和指导原则,然后介绍了基金绩效评价的两大理论基础:Markowits均值--方差模型和CAPM模型,然后对影响基金投资绩效评价的三个重要因素即基金信息披露、基金净值和基金业绩比较基准进行了分析,接着从定性分析、定量分析和综合评价体系三方面对基金绩效评价进行了全面的探讨。定量分析主要讨论了基金总体绩效和绩效成分两大方面。以美国晨星公司基金评级体系为例介绍了基金投资绩效综合评价体系。最后在理论分析的基础上,文章对沪市25只封闭式基金2003年4月11日—2004年3月19日的投资绩效进行了实证研究,得出了一些很有意义的结论。实证研究表明,样本基金在评价期内的投资绩效全面超越了市场,取得了良好的业绩;基金的综合绩效指标排名对不同的无风险收益率和市场基准的选取反应不敏感,且各种综合绩效指标排名情况基本相同;总体而言基金并不具备择时能力,我国证券投资基金的超额收益主要来自证券选择。更多还原

【Abstract】 With the rapid development of China’s mutual fund industry, the number and size of the mutual fund is becoming more and more large, so the comprehensive and objective evaluation of the funds’ investment performance is very important and urgent. The significance is that it could strengthen the risk awareness of fund investors and protect the interests of them, thus boost the mutual fund industry’s healthy development.This paper first analyses the significance and principles of mutual fund performance evaluation. Then introduces the 2 fundamental theories of mutual fund performance evaluation, that is Markowits Model and CAPM Model. After that, the 3 important factors that will influence the evaluation are discussed. Then the paper discusses the qualitative analysis, quantitative analysis and comprehensive evaluation system of fund performance evaluation. Quantitative analysis includes the aggregate performance evaluation and the components of fund performance. The comprehensive evaluation system is analysed by introducing the Morningstar’s rating system as an example. At the end of the paper, an empirical study of the 25 Shanghai Stock Exchange listed closed-end mutual funds’ investment performance during 2003.4.11---2004.3.19 is made. The empirical study finds that as a whole, the sample funds’ investment performance exceeds the benchmark’s. The rankings of the funds’ performance is not sensitive to different benchmarks and the rankings of their Sharpe ratio, Treynor ratio and Jensen ratio are very close. Generally speaking, the sample funds don’t have market timing ability. The return comes mainly from the fund’s selectivity ability.更多还原