我国股票型开放式基金绩效评估的实证研究  

An Empirical Study on Performance Evaluation of China's Stock Open-end Fund

作　　者：郭树华[1] 

机构地区：[1]云南大学经济学院,昆明650091

出　　处：《云南财经大学学报》2011年第5期84-93,共10页Journal of Yunnan University of Finance and Economics

摘　　要：随着证券投资基金的迅猛发展,基金规模和品种迅速扩张,基金的绩效表现也越来越受到社会各界的关注,因此对于证券投资基金的绩效评估具有重要意义。对基金绩效评估的一般指标进行介绍,并选取30只股票型开放式基金作为样本基金,用平均收益率、标准差和系统风险对中国股票型开放式投资基金的收益及风险进行实证分析;通过Jensen指数、Treynor指数和Sharpe指数对样本基金绩效进行实证研究;借助T-M模型和H-M模型对基金的证券选择能力和时机选择能力进行评价。With the rapid development of securities investment fund, the size and the type of funds increase very fast. The result is that the performance of funds gains more and more concern from the society, and it is important to the performance evaluation of securities investment funds. The author introduces the general index of fund performance evaluation and chooses 30 stock open- end funds as research samples. First, an empirical analysis is made on the return and the risks of China＇s stock open-end investment funds by using average rate of return, standard deviation and systematic risk. Then a further empirical study is made on the performance of sample funds by u- sing Jensen index, Treynor index and Sharpe index. Finally, by borrowing T-M model and H-M model, security selection ability and timing ability of fund are evaluated.

关 键 词：股票型基金 特雷诺指数 夏普指数 詹森指数 绩效评估 

分 类 号：F830.91[经济管理—金融学]