【作者】 黄烁；

【导师】 刘荣茂；

【作者基本信息】 南京农业大学 ， 金融学， 2008， 硕士

【摘要】 20世纪70年代以来,指数基金作为一种低成本、注重风险控制的基金品种,在国际资本市场取得了不俗的业绩和惊人的发展。从国外的实践看,指数基金具有规避投资风险、投资费用低廉、投资监控简明、平均收益水平较高和延迟纳税等优点,世界证券市场指数基金的成长发展历程充分体现了指数基金本身所具有的突出优点。指数基金在中国虽是个比较新鲜的理财工具,其成本低廉、投资分散、运作透明的优势同样为一大批追求长期稳定收益的投资者所关注。在中国发展以追踪指数为目标的指数基金,能充分分享股市的成长,获得良好收益。为了能够获得预期的收益,科学、客观、有效地对指数基金的发展、运作及其投资业绩进行评估就变得尤为重要。本文选择具有代表性的绩效衡量方法构建了我国指数基金绩效评价的实证研究体系,在此基础上,运用回归方程、协整分析、跟踪误差、风险收益率、特雷诺指数、夏普指数、詹森指数、信息比率、T-M模型及H-M模型等对我国指数基金的绩效表现进行了实证研究。实证研究中,本文选取了具有代表型9只我国指数型基金为研究对象,评价期为2006年7月3日-2008年6月30日,评价期内各样本基金均有493个日净值数据可以利用。运用spss软件、eviews软件以及excel软件对数据进行分析,结合绩效综合评价体系从整体上对我国开放式指数基金的绩效进行概括比较。研究结果表明:指数基金与其跟踪误差具有很强的相关性,单因素模型对我国指数基金的波动具有较强的解释能力;指数基金能较好地控制跟踪误差,且复制型指数基金在该指标上优于增强型指数基金;从收益率指标看,相对于其跟踪基准,考察的样本基金基本上能取得超额收益率,其在风险调整收益率指标上亦优于其跟踪基准;择时选股系数大多表现为正值,但通过显著性检验的情形并不多,可见,我国指数基金具有择时选股能力,但这种能力表现得并不强。更多还原

【Abstract】 From 1970 s, index fund has been developing very quickly in international capital markets because of it s good performance. From the abroad practicing, the index funds have the advantages as follow: prevent investing risk, lower expenses on investment, simple and clear monitoring the investment, higher average profit and delaying tax. Furthermore, the growing and developing progress of the index funds on the world stock market could embody all those merits fully. If we expand the index funds, which will Though index fund is still very new in China, its advantages also have been appreciated by those people who pursue long and stable yield. This article establishes the empirical study model of performance evaluation of index fund in China. By using single regress equation, tracking error, cumulating yield, Treynor index, Sharpe index, Jensen index, Information ratio, T-M model, H-M model etc., During the process of empirical research, nine index funds are selected as the researching subjects, and with the daily data of 493 transacting days from July 3^rd, 2006 to June 30^th ,2008, the paper evaluate different funds’ performance, makes co integrating analysis by means of spss, eviews and excel. The study result indicates that: index funds are high interrelated with their benchmarks respectively. The single index model can illuminate the fluctuation of index fund in good degree; index funds have a sound control in their tracking errors, and the pure index fund have an advantage over the enhanced index fund in this aspect. The index fund we study can obtain an excess yield relative to their benchmarks in yield target. When considering the risk-adjusted yield, we can come to the same conclusion. Most of the stock-picking and timing coefficients are positive, but few of which can pass the notability test, which shows that the index funds have weak selectivity and timing ability.更多还原