市场基准组合的选取对开放式基金业绩评价的影响  

On the Performance of Open-ended Funds under Different Benchmark Portfolios

作　　者：肖奎喜[1] 刘建和[1] 杨义群[1] 

机构地区：[1]浙江大学管理学院,浙江杭州310027

出　　处：《武汉科技大学学报（社会科学版）》2004年第3期1-3,7,共4页Journal of Wuhan University of Science and Technology:Social Science Edition

摘　　要：在证券投资基金的业绩评价中,不同指数和模型的选取对基金的证券选择能力和市场时机把握能力的评价都有较大影响。本文根据我国11个开放式基金的日收益率数据,采用9种指数对其业绩进行比较研究,发现评价结果的差异主要取决于所采用指数的收益率之间相关性的大小。从我国开放式基金的混合投资特点来看,涵盖沪深两市股票和国债收益率的复合指数较适合作为评价基准,复合指数下基金大多取得了超越市场的表现,部分基金具有显著的正向市场时机把握能力。Based on the daily revenue data of eleven open-ended funds of our country, this article studies their ability of security selecting and market timing by the use of nine market benchmark indices.It is found that different kinds of benchmark indices and models have great influence on the result of the open-ended funds' performance. The compound index which includes the revenue of the shares in Shanghai and Shenzhen markets is suitable for the benchmark. Most funds have surpassed the performance of benchmark,among which three funds demonstrated especially good market timing ability.

关 键 词：市场基准组合 开放式基金 业绩评价 证券选择能力 市场时机把握能力 资本资产定价模型 

分 类 号：F832.5[经济管理—金融学]