【作者】 廖仁英；

【导师】 杜金岷；

【作者基本信息】 暨南大学 ， 金融学， 2006， 硕士

【摘要】 随着开放式基金的快速发展，对开放式基金的业绩进行全面客观地评价具有重要意义。尽管到目前为止，有不少学者对我国开放式基金的业绩进行过实证研究，但是我国开放式基金经过几年的发展发生了很多的变化，如基金种类和基金规模的增加，基金投资风格呈现多样化等等。同时，经过几年的运作，各大基金公司的运作能力日趋成熟和完善，因此其管理的开放式基金的业绩情况自然会有较大的改变，同时，要客观评价基金的业绩最好采用中长期数据。鉴于这种情况，有必要加入新的数据对我国开放式基金的业绩进行新的实证研究，从而对目前开放式基金的业绩水平有个新的认识。 本文在借助国内外相关研究成果的基础上，运用了收益率指标、风险指标、三大单因素整体业绩指数(Jensen指数、Treynor指数、Sharpe指数)以及考察基金择时能力的T-M模型和H-M模型，对我国2002年12月31日之前成立的15只股票型的开放式基金的业绩表现进行全面的实证分析。实证结果表明，总体上我国开放式基金的收益率高于市场基准组合的收益率，经风险调整后，开放式基金的业绩也优于市场基准组合，同时，我国的开放式基金没有表现出显著的选股能力和择时能力。更多还原

【Abstract】 With the fast development of the open-ended funds, it has important meaning to evaluate the open-ended funds performance objectively and roundly. So far, there are many scholars have made empirical study on Chinese open-ended funds performance, but, there has took place a lot of transformations through several years’ development, such as fund category、 the increment of the fund scale the fund investment style presents diverse etc.. At the same time, through several years’ operation, the operation ability of each big fund company is gradually maturing with perfect, therefore, there must have some big change in the managed funds performance. At the same time, better adopt the long-term data to evaluate the open-ended funds performance objectively. Owing to these, in order to have a new cognition of the open-ended funds performance, it is necessary to add new data to make a new empirical study on Chinese open-ended funds performance.Based on the domestic and international related research results, to make roundly empirical study on Chinese open-ended funds performance, the author choose 15 funds which have been issued before the Dec 31, 2002 as the research objects. In the process of the study, this paper adopt earning rate index, risk index, three earning rate index after risk adjustment(Jensen Index、 Treynor Index、 Sharpe Index), and T-M、 H-M models that are used to value the managers ability to securities selecting and market timing. According to the research results, the earning rate of open-ended funds in our country is higher than that of market benchmark portfolios on the whole; And after risk adjustment, the performance of open-ended funds is also better than the market benchmark portfolios; At the same time, the abilities to securities selecting and market timing are absent in most of the open-ended funds in China.更多还原