我国证券投资基金业绩评价研究

【作者】 杨振宁；

【导师】 陈永生；

【作者基本信息】 西南财经大学 ， 金融学， 2006， 硕士

【摘要】 一、选题背景及意义我国证券投资基金从成立的第一天起,就以“专家理财、组合投资、分散风险、稳定市场”的形象出现在证券市场,吸引着投资者的目光。基金的数量和规模都在不断的发展,基金规模更是从2001年末的766.1亿元迅猛发展至2005年二季度的4291.8亿元。随着基金运作时间的增长和基金数量的增多,基金在治理结构和投资组合管理上存在的问题也逐渐显现,基金是否起到了它所宣称的几大作用受到越来越多的反思和质疑。面临中国证券市场的迅速发展和以证券投资基金为代表的机构投资者的规模日益扩大,对基金的业绩和管理进行科学的评价分析,正日益显现出其重要性。国外投资基金的研究始于上世纪50年代,可以说,投资基金快速发展的五十年也就是基金业绩评价研究不断深入发展的五十年。从Markowits的投资组合理论,到Treynor评估模型、Sharpe指数模型,及发展至后期的以Rose APT模型为基础的多因素分析模型,证券投资基金的绩效评估实质上是运用现代金融理论对风险资产进行定价的典型应用。由于国外基金业绩评价的理论及实证研究都处于领先地位,国内学者对我国基金绩效进行的研究一般是从实证方面下功夫,通过运用国外学者的理论、方法,结合中国的实际进行某些尝试。但是由于我国新证券投资基金自1998年成立以来不过短短的八年,期间还有许多政策变动的因素影响着基金业绩水平的外在表现,以前学者在进行上述研究时,或由于入选基金数量太少、采样时间太短,难以满足计量分析的统计要求;或由于新股配售等对业绩贡献的调整不够充分;或由于基准组合的选取未能充分考虑上证综指等指数的失真情况,导致结论的说服力有待进一步提高。因此笔者萌发了在进行基金业绩评价研究时,尽可能在这些问题上做出修正的兴趣。二、本文的研究思路与主要内容本文主要根据传统业绩评价方法和经过风险调整后的三大收益率指标,即Sharpe指数、Treynor指数和Jensen指数以及H-M模型和更多还原

【Abstract】 The security market of China have got great development in the past 15 years, it have gradually grown into maturation from infantilism. The growth of security market makes the security investment funds a better circumstance to develop. After several years’development, by the end of Jun. 2005, there are 54 pieces of closed-funds and 119 pieces of opened-funds founded, and the total scale of funds has reached more than 429 billion Yuan. It is concluded that the security investment funds have been one of the important parts of the security market in China, because it plays a key role stabilizing the security market, enlarging the investment room, improving the investor’s structure, and promoting the activity of the market. Therefore, more and more experts pay attention to the operation and characteristics of the funds, trying to learn the performance evaluation of funds and the infection factors. Furthermore, the funds investors need to know that whether the funds achieve their goal through evaluate funds’performance and the manager’s investment skills. The funds management companies need the evaluation to find problems and improve their operation. The superintendent also needs the evaluation to make more efficient policy. So it’s very important to evaluate funds performance precisely.Much research has been done on the performance evaluation of funds, and some experts abroad have set up a mature and systemic theory system through decades of hard work. But related research in China is still very primary because the security investment funds appear in China for a short time. This paper examined and studied the theoretical bases and methods in evaluating funds performance, and based on the typical evaluation methods of the investment funds (Treynor performance Index, Sharpe performance Index, Jensen performance Index, T-M model, H-M更多还原