证券投资基金绩效评价方法与实证研究

Approaches of appraising investment funds performance and some empirical studies

传统的基金绩效评价方法具有诸多局限性,而DEA方法克服了传统评价方法因市场组合选择不同和无风险收益率确定不当而带来的评估结果失真的问题,从而提高了基金绩效评价的科学性和准确性。运用DEA方法对中国22支封闭式基金2000年至2002年间的相对投资绩效进行的实证分析,结果表明,在中国目前的证券市场环境下,多数基金的运作处于无效状态,基金绩效不存在明显的持续性和规模效应,不同投资风格的基金绩效也没有显著的差异。

The traditional methods of funds performance appraisement are limited in a number of ways, while the DEA approach is able to improve the accuracy of performance appraisement in ways of settling the distortion of appraisal results arising from the selection of different market portfolios and the inappropriate rate of risk-free returns. Applying the DEA approach, this paper makes appraisals of 22 close-end investment funds performance between 2000 and 2002 and finds that most of the investment funds are inefficient, and there is no performance persistence, no size-effect, and no great differences among different styles of investment under the environment of present security market.