基于流动性风险调整的基金业绩评估探讨  

作　　者：王灵芝[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《证券市场导报》2009年第10期40-44,共5页Securities Market Herald

基　　金：国家自然科学基金(70773075)的资助

摘　　要：我国证券市场缺乏做空机制、对冲机制等避险手段。金融危机背景下,基金投资者大幅度地赎回资产,基金管理者将持有资产变现,加剧了股市的单边下滑,基金的流动性风险凸显。现有的基金业绩评估方法中均未考虑到流动性风险对基金业绩的影响。为了更准确地对基金的业绩进行评估,本文在对资产组合的流动性风险进行测度后,首次提出了基于流动性风险调整的平均收益率法,并基于此方法对11家股票型开放式基金的业绩进行了评估。For lack of short hedging mechanism in China, the liquidity risk of mutual fund rose during financial crisis due to substantive fund redemption. However, the existing performance evaluation methods of mutual fund do not consider the influence of liquidity risk. In order to improve the method of mutual fund＇ s performance evaluation, this paper provides the average liquidity risk-adjusted rate of return method, which measures liquidity risk of portfolio. Furthermore, we employ this method to evaluate 11 open-ended stock funds.

关 键 词：基金业绩评估 流动性风险 风险调整 开放式基金 

分 类 号：F830.39[经济管理—金融学]