方法决定结果吗——基金业绩评价的实证起点  

Can Method Selection Affect Result? Initial Point of Performance Evaluation on Mutual Fund

作　　者：张文璋[1] 陈向民 

机构地区：[1]厦门大学计统系,厦门市361005 [2]深交所博士后站,深圳市518007

出　　处：《金融研究》2002年第12期38-48,共11页Journal of Financial Research

摘　　要：本文选用了4种常用的基本模型、3种因素基准组合、9种市场指数和5种无风险收益率,组合成4×3×9×5=540种具体的基金业绩评价方法,用我国证券市场实际数据模拟的一系列随机投资组合代替实际基金,对这些基金业绩评价方法进行系统的模拟研究。研究结果表明,评价方法的选择对评价结论有着很大的影响。其中,不同的基本模型、基准组合和市场指数对评价结论具有较大影响,而无风险收益率的选择对评价结构影响较小。在此研究基础上,本文对我国证券投资基金的业绩评价结果进行了实证分析,并给出了运用方法方面的建议。four models, three benchmark portfolios, nine market indexes and five risk-free rate of returns had been tested by 4×3×9×5=540 specific performance evaluation methods. The performance of actual mutual funds is simulated by random selection of portfolios from Chinese security market. The authors find that the evaluation results are rather method sensitive. Different substitute for fundamental models, benchmark portfolios and market indexes can lead to diverse conclusion of mutual fund performance. While test on varies risk-free rate of return display similar result. Further practical suggestions also presented on empirical research from Chinese mutual fund performance.

关 键 词：证券投资基金 数学模型 模拟研究 业绩 评价 

分 类 号：F830.91[经济管理—金融学]