基金业绩评估的创新指标SR——基于Sharpe指数的改进及中国基金业的实证研究  

Creative Indicator for Evaluation of Funds Performance——Based on Sharpe Ratio Improvement and Empirical Study on Chinese Investment Funds

作　　者：苟文峰[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《西安财经学院学报》2005年第2期70-74,共5页Journal of Xi’an University of Finance & Economics

摘　　要：Sharpe指数是目前在国内外较为流行的一种基于风险调整后的证券投资基金业绩衡量指标,但由于其模型自身的缺陷,许多学者对其进行了不断改进。本文通过改进的Sharpe指数M2方法和基于VAR的RAROC法对中国基金业绩进行实证研究,并在此基础上首次提出了一个全新的综合业绩评价指标SR,其实质是将投资者的风险偏好及投资成本同时纳入对Sharpe指数进行再调整,创新地提出了Sharpe指数的风险及成本再调节因子"g。经过实证检验,基金业绩的SR指标排名具有相对稳定性,克服了单独使用Sharpe指数或RAROC法进行业绩评价的较大波动性,为基金投资者提供了一个很好的基金业绩参考指标。Sharpe ratio is a popular index based on risk adjustment,which is often used to measure the performance of securities investment funds in the world.It has been developed by many scholars due to the limitation of itself.This paper applies developed Sharpe index M^2 and RAROC to an empirical analysis of Chinese investment funds and creatively put forward a new and cmprehensive funds performance index which combines risk preference and cost with Sharpe index.meanwhile,a new concept,risk and cost re-adjusted factor'g'is generated.SR indicator is more stable than M^2 and RAROC in evaluating performance of funds on the basis of empirical research and it is a reliable indicator for funds investors.

关 键 词：Sharpe指数 综合业绩评价指标 中国 基金业 SR指标 证券投资基金 证券市场 基金管理公司 创新 

分 类 号：F832.51[经济管理—金融学] F832.39