基于Markowitz投资组合模型的基金绩效评价方法的研究——基于随机前沿生产函数模型  

Research on the Performance Evaluation Method of Fund Based on Markowitz′s Investment Portfolio Model——Based on Stochastic Frontier Production Function Model

作　　者：尹向飞[1] 

机构地区：[1]湖南商学院经贸学院,长沙410205

出　　处：《云南财经大学学报》2012年第2期126-135,共10页Journal of Yunnan University of Finance and Economics

摘　　要：基于Markowitz投资组合模型提出M效率,并用于评价2007～2009年中国所有开放式基金绩效,得出如下结论:中国2007～2009年开放式基金的基金绩效还有很大的提高空间,系统风险的Treynor和Jens-en等指数给出的基金绩效排序不具有一致性,这主要归因于非系统风险比例较大以及各基金非系统风险比例相差悬殊。Spearman相关系数以及Kendall和谐系数表明,基于总风险的Sharpe指数和M效率给出的基金绩效排序比较合理,M效率较其他常用绩效指标包含更加全面的信息。Based on Markowitz′s Investment Portfolio Model,M-efficiency is proposed,which is used to evaluate the performance of China′s open-ended funds from 2007 to 2009,and the following conclusions are made： the performance of the open-ended funds from 2007 to 2009 has great potential to be improved.The inconsistency of the orders on fund performance given by Treynor and Jensen based on systematic risks lies in the large proportion of non-systematic risks and the great proportion differences among funds.Spearman correlation coefficient and Kendall′s coefficient of concordance show that the fund orders given by Sharpe index and M-efficiency based on general risk are reasonable,and M-efficiency includes more information compared with other indexes in evaluating performance.

关 键 词：有效前沿 绩效 随机前沿分析 

分 类 号：F830.91[经济管理—金融学]