Sharpe指数评价中国证券市场基金业绩的适用性  

The Application of Sharpe Index in China's Securities Market

作　　者：刘艳武[1] 蒋瑛琨[2] 

机构地区：[1]中国人民银行总行,北京100800 [2]吉林大学商学院,吉林长春130012

出　　处：《金融研究》2004年第10期94-99,共6页Journal of Financial Research

基　　金：教育部人文社会科学2002重大项目<中国资本市场与宏观经济波动的动态非均衡分析;风险预警系统研究>(02JAZJD790007)教育部人文社会科学研究2002重点项目<金融领域信用评估指标体系与评估方法研究>(02JAZ790005)资助

摘　　要：Sharpe指数是一种风险调整后的基金业绩评价方法,目前在国内外较为流行。但由于它以CAPM为理论基础,CAPM本身的有效性以及现实中的市场对CAPM假设的违背,导致了Sharpe指数的严重缺陷。此外,Sharpe指数还有结果不易解释,当Sharpe指数为负数时评价失效等缺点。为此,国外学者纷纷提出M2方法等改进,但这些方法也存在着一些缺点以致应用范围有限。Sharpe指数在结合其它方法谨慎使用的条件下,在现实的中国证券市场中仍然具有一定的适用性。Sharpe index is one of the most widely used measures of evaluating investment funds in securities market at home and abroad. However, as the index is based on CAPM (capital asset pricing model), while the effect of CAPM itself is not certain and the realities are often inconsistent with hypotheses of CAPM. In addition, the result of Sharpe index is uneasy to explain and not available when it is negative. Concerning about the Sharpe index's inadequacies, method and other methods are produced, but these method also have some defaults. Therefore Sharpe index is still applied for China's securities market with combination of other methods.

关 键 词：Sharpe指数 业绩 CAPM 

分 类 号：F832.5[经济管理—金融学]