我国证券投资基金的业绩评估分析

【作者】 柳雯青；

【导师】 丁丽；

【作者基本信息】 西南财经大学 ， 金融学， 2006， 硕士

【摘要】 随着金融市场与制度日新月异、金融技术的不断创新,证券投资基金以其规模经济、专业管理、分散风险、投资小、费用低、流动性强等特点,迅速从其他金融工具中脱颖而出,成为全球范围内重要的金融投资工具。国外近一个世纪的实践已经证明,基金业所创造的生产力,大大超乎人们的想象,从繁荣和稳定市场的角度上讲,其意义已远远高于银行业和证券业。自1998年3月23日我国证券市场第一批基金(基金开元和基金金泰)的发行拉开基金业发展序幕以来,在基金规模快速膨胀的同时,基金品种创新也呈加速趋势。在推出成长型、平衡型、价值型三大类基金品种后,债券基金和180指数基金陆续问世,中外合资基金公司也登上了历史舞台,特别是在2001《开放式证券投资基金试点办法》颁布后开放式基金逐渐成为基金业的主流形式。截止到2006年1月,已有43家基金管理公司成立,成功发行的基金已达204只,其中封闭式投资基金达54只,开放式投资基金有150只。随着我国证券投资基金规模的不断扩大、种类的不断增加,对证券投资基金的全面科学合理的评价就成为基金业发展中一个关键性的环节。但目前我国基金评估业尚处在初级阶段,虽然基金、保险以及一些证券公司、咨询公司都建立了基金评估系统,但大多与基金公司有着千丝万缕的利益关系,尚未形成一套完整并且得到一致认可的基金评价体系。在此背景下,本文希望通过借鉴国外对基金业绩评价方面的经验,结合我国的国情尝试尽可能真实的、多角度分析我国证券投资基金在不同市场时期的业绩特点,如投资基金的回报及其承担的风险,基金经理的择时能力和选股能力究竟怎样,基金业绩是否具有持续性等等,为基金投资者、监管者、基金管理公司以及基金的发展提供一些参考,以引导社会资源更多地流向拥有理性投资理念、资产管理能力出色的基金管理公司,实现资源的优化配置,进而推动市场投资理念走向成熟。本文首先对西方成熟的基金市场上比较常用的业绩评估模型在更多还原

【Abstract】 As a new type of financial instrument characteristic of cooperative investment, experts’ operation, shared risk and common benefit, mutual funds have become an important investment instrument .With the development of our financial market, the volume of the mutual funds in our country increases gradually. By far, there has been forty-three mutual funds management corps, 204 mutual funds. So that it is really an urgent task to evaluate the funds’performance. At the same time, it should be noted that the method our market usually uses to evaluate different funds is far from enough. Under such circumstances, my dissertation is to study the mature theory and model in the foreign mutual funds evaluating market so that we can learn from some that are suitable to our market now.Using the investment return rate, the T -M model, the H -M model and the single factor evaluating model Sharpe index we evaluate the performance of the twenty-three mutual funds. And we come to the following conclusions: (1) Looked from the returns ratio target that, all funds achievement are better than the market datum combination’s in the sample time, but the funds overall achievement is inferior to interest rate; (2) After the modification of the risk factor, our mutual funds outguess the market; (3) There is not enough evidence that indicate that Chinese security investment funds have choosing ability in the market opportunity and choosing ability in the security. (4)The achievement in the past of the fund can not represent market manifestation in the future of the fund.This article innovation mainly has following several aspects:(1)Have established the overall target of a appraisal fund achievement and gone on the real example to analyze with the mathematics model,Having solved the inconsistency problem of appraising the result of many kinds of更多还原