我国开放式基金业绩的实证分析.pdf

对外经济贸易大学
硕士学位论文
我国开放式基金业绩的实证分析
姓名:程婧
申请学位级别:硕士
专业:金融学
指导教师:奉立城
20040401
中文提要
随着我国第一只开放式基金华安创新的设立开放式基金开始登上了历史
舞台截至年月在短短不到三年的时间里我国开放式基金的数目已经达
到只开放式基金作为一种新型的投资工具已经被广大投资者所了解并开始接
受并拥有广阔的发展空间但同时我们也看到同迅速发展的开放式基金市场相
比有关基金业绩评价的研究在我国的发展却相对滞后开放式基金在我国的发展
属于刚刚起步阶段基金业绩评价研究是促进基金业健康发展的重要环节基金业
绩评价研究无论对投资者基金管理公司还是市场监管部门都具有非常重要的意
义本文对传统业绩评价指标进行挑选选择适合我国开放式基金业绩研究的指标
利用统计专业知识主要从基金面临的系统性风险非系统性风险基金管理人的
选股择时能力以及分散风险能力等方面对我国开放式基金进行实证分析和评价实
证结果表明开放式基金虽然普遍采取积极的经营策略能够获得高于无风
险利率的收益但绝大多数开放式基金却不能显著地战胜市场开放式基
金的收益风险主要来自于同市场有关的系统风险绝大多数的开放式基金
的选股能力较强但择时能力并不强不能达到专家理财的效果
关键词开放式基金业绩评价风险与收益
Abstract
After the establishment of the first open-end fund—Hua’an Chuang Xin, the
open-end fund began its history in China. Up to March 2004, the number of the open-end
funds in China has reached 70 within the short time span of less than three years. The
open-end fund, as a new type of investment instruments, has been widely accepted by
investors and proves itself to be very promising in the future. We notice however that the
researching development of the performance appraisal of domestic investment funds lags
behind the fast growth of the open-end funds market. With the open-end fund still in its
initial stage, it is crucial to improve the research on the performance appraisal of the
domestic investment funds operation in order to achieve the healthy development of the
fund industry, which is also important and meaningful for the investors, fund management
companies and department of the market’s supervision. This thesis selects those indexes
suitable for Chinese circumstance among the traditional ones of funds’ performance
appraisal and makes an evaluation on the open-end funds through case research. With the
employment of the statistics knowledge it mainly addresses two aspects, including the
systematic and unsystematic risks the open-end funds face as well as funds managers’
ability of selecting securities, seizing market