【作者】 李明慧；

【导师】 佟琼；

【作者基本信息】 北京交通大学 ， 统计学， 2007， 硕士

【摘要】 我国开放式基金近几年无论是在数量上还是规模上都发展迅速，尤其是在2006年取得了历史最好业绩，吸引了大量投资者，获得空前繁荣。因此，科学地评价开放式基金对基金投资者、基金管理者和监管当局都有更为重要的意义。本文采用实证分析和比较分析相结合的研究方法对我国的开放式基金业绩进行分析。在借鉴国外成熟的评价方法和先进的评价体系基础上，构建适合我国的基金评价体系。通过收益与风险分析、业绩归因分析和绩效持续性分析，多方面评价基金业绩。本文在对运作满三年的全部股票型基金进行业绩分析的同时，还从投资风格的角度对样本基金进行分类评价，从而使评价结果更加的客观、全面。此外，首次选用市场统一股票指数“沪深300”构建市场基准组合，有效地减少了因市场组合参照标准失偏而产生的偏差，有助于提高实证分析的准确性及可靠性。通过实证分析，可以得出以下结论：在不考虑风险因素时，基金业绩超过了市场基准组合；在给定风险水平下，基金整体收益率超过无风险收益率，但不能显著超过市场基准；基金总风险高于市场基准，没有充分分散非系统性风险，投资相对集中；基金经理表现出一定的选股和择时能力，但是缺乏明显的支持证据；各基金的资产配置政策对其总收益的表现平均有78.82％决定作用；基金业绩不具有持续性。更多还原

【Abstract】 Both the amount and scale of open-end fund have developed rapidly recent years in China. Especially in 2006 Chinese open-end fund achieved the best performance and attracted a large numbers of investors. So scientific performance evaluation of open-end fund has a great significance for fund investor, manager and supervisor.This paper applied research methods combining empirical analysis with comparative analysis to evaluate performance of open-end fund in our country. Based on overseas ripe evaluation methods and advanced evaluation system, the paper designed an open-end fund evaluation system, using it to analyze the performance of open-end fund including income and risk, performance attribution and performance persistence. This paper selected all stock open-end funds that carried on over three years to analyze. At the same time, classifying samples by investment style to evaluate in order to make results more objective and comprehensive. In addition, for the first time, this paper selected uniform securities business index—"hu shen 300" to establish the market fiducial combination to reduce bias and enhance veracity and reliability. The empirical result shows: when overlooked risk, performance of Chinese open-end fund exceeds benchmark; when based on risk-adjusted measures, Chinese open-end fund as a whole can exceed risk free rate of return, but can not significantly exceed benchmark; its risk as a whole is higher than benchmark’s and its investment is correspondingly concentrative, which can not fully disperse non-systematic risk; fund managers have some market timing and stock selection skills, but lack significant evidence. On the average, asset allocation policy of each open-end fund has a 78.82% determinative effect action on its total income; Chinese open-end fund doesn’t have performance persistence.更多还原