【作者】 朱红丽；

【导师】 葛久研；

【作者基本信息】 河海大学 ， 技术经济及管理， 2006， 硕士

【摘要】 近年来我国开放式基金市场迅速发展,但有关开放式基金业绩评价的研究却相对滞后。本文在梳理并消化成熟市场基金绩效评估理论的基础上,结合我国证券市场的特点和基金业发展实际情况,分别从基金收益和风险能力、基金经理投资管理能力、基金的绩效归属分析、基金的业绩持续性四个方面选用了国际上比较权威的詹森指数、特雷纳指数、夏普指数、H-M模型、T-M模型以及Fama的绩效归属分析、回归分析方法等,同时对相关的计算指标进行定义和修正处理,构建了一个全面、客观、科学的基金绩效综合评价体系的框架,并将其应用于中国基金市场进行了实证分析。 在实证研究中,本文选取了运行满三年的16只股票型开放式基金,调用了137个周数据,运用绩效综合评价体系从整体上对我国开放式基金的投资业绩做出评价,对单只基金的业绩进行评价和相互比较,并为投资者、基金管理公司和监管层提供一定的借鉴意义。更多还原

【Abstract】 Though open-ended fund market developed rapidly recent years, the development of the research on the performance of the open-ended fund evaluation lags behind relatively in our country. On the basis of combining and digesting the fund performance in ripe market and the assessing theory, this text combines the characteristics of China’s securities market and Chinese fund industry as well as develop reality, takes four perspectives like the fund income and risk ability, manager’s investment managerial ability of the fund, the source and analysis of the fund performance, and the achievement constant ability, selects authoritative indexes in the world as Jenson index , Sharp index , H-M model , T-M model, the Fama achievements ownership analysis, the regression analysis method and so on, carries on the definition and revision processing to the related computation target simultaneously, establishes a frame of an overall, objective, scientific comprehensive appraisal system of fund performance, which has been applied to Chinese fund market as an real example.In the real diagnosis research, this article selects 16 stocks open-ended fund which carried on three years, transferred 137 weeks data, appraisal system of fund performance has made from the whole to open-ended funds investment performance in our country, carries on the appraisal and the mutual comparison to the single fund performance, and provides certain help for the investor, the fund management company and the supervision authorities更多还原