我国投资基金业绩评价及基金经理能力的实证研究

【作者】 刘芳；

【导师】 唐小我；

【作者基本信息】 电子科技大学 ， 数量经济学， 2003， 硕士

【摘要】 随着基金产业的快速发展，对基金业绩进行客观而科学的评价已成为了学者和投资者们所关注的议题。早在20世纪60年代，国外就开始了对基金绩效的评估方法的研究，也形成了较为成熟的指标评价体系，例如：特雷诺指数、夏普指数、詹森指数、估价比率等指标以及Morningstart的共同基金业绩评价体系等等。在运用以上指标及评价体系对国外基金业绩进行评估的研究报告中，多数研究者认为绝大多数基金的业绩表现都不如市场平均收益率。例如夏普（1966）考察了1954——1963年之间34只共同基金，发现大部分的绩效指标不如道?琼斯工业指数；詹森（1968）在分析了1958——1964年间的115只共同基金后发现：没有证据能够表明任何一只基金能比随机选择的投资组合的业绩表现优异。相对而言，我国的基金业起步较晚，而基金业绩的研究在我国还未成体系，在评价我国基金业绩表现时，多采用国外已成熟的评价指标。但是在许多实证研究中，由于选择的业绩评价指标、市场基准收益率以及无风险收益率等参数的不统一，这使得各学者对于同一时期基金业绩表现的研究结果不一。出现这种原因主要是因为基金投资收益率、市场基准收益率与无风险收益率等指标的选择对于基金业绩评价的结果具有致关重要的作用。有鉴于此，针对我国证券市场和利率市场的实际情况，作者在本文中对证券投资收益率、市场基准收益率、无风险收益率及系统风险值等指标进行了充分的改进，并采用单因素评价法与因子分析法相结合的综合评价法对我国基金的业绩进行评估分析，研究结果表明：我国大部分的基金能战胜市场，这说明我国的投资基金具有较好的业绩表现。但是这部分业绩中有多少来源于基金经理的实际能力，这部分投资能力具体又表现在哪种能力上。针对这个问题，作者在改进的指标体系的基础上，进一步引用了国外成熟的TM模型、HM模型及改进的HM模型等评估模型，对我国33只基金业绩进行评估。研究结果表明：我国的投资基金经理具有一定的选股能力，但却并不具有择时能力。这说明我国投资基金的业绩部分来源于基金经理人的选股能力，而经理们的择时能力的表现却不尽入人意。更多还原

【Abstract】 With the rapid development of the funds industry over the world, the objective and scientific estimation toward funds has become the most important issue for the scholars and investors. Early in the 60`s of the 20th century, the research about estimation toward the achievement of funds has been done. Simultaneously, the system of the estimation of index came into being, such as: T index, S index, J index and the Morningstar method for achievements of the collectivce funds.Comparatively, the funds industry in China started too late. Consequently, the research of the fund hasn`t formed a complete system.As a result, when we came to the estimation of the funds, we usually adopted the abroad ripe estimative index. Due to the difference adaption of the estimation indexes such as the fiducial rate of market return and the rate of return without risk in many empirical researches, the results is quite different. For the very importance of the selection of the evaluation indexes, the writer adequately improves the correspending indexes such as the rate of return of the funds, the fiducial rate of market return, the rate of return without risk and the systematical risk index according to the the actual situation in the security market in China. On the strength of which, the synthetical appraisal method combining the simple factor method and the factorization method is adopted to give a further assessment for the achievement of the funds in China. The result illustrates that vast numbers of investment funds whose achievement prevail that of the market have a quite good accomplishment. But where does the accomplishment of the funds referred above come from? In order to reveil it, a further research is taken in use of the TM model,HM model and improved-HM model.The final result demonstrates that the accomplishment comes from the ability of the funds managers to choose the right security, while little from the ability to choose the right time.In another word, the latter capacity of the funds managers in China is quite insatisfactoring.更多还原