证券投资基金业绩与持续性评价的实证研究——基于DEA模型与R/S模型的评价

Empirical Study of the Performance and Sustainable Evaluation of Securities Investment Funds——Evaluation based on DEA Model and R/S Model

科学合理的基金评价体系有助于提高基金运作水平、促进基金业可持续发展,而传统的投资基金业绩评估方法存在着诸多问题,如Treynor业绩指数法、Sharpe业绩指数法以及Jensen业绩指数法等。为了克服上述评价指数存在的诸多问题,在国内外学者对基金业绩评价研究的基础上,运用数据包络模型(DEA)和R/S模型对基金的相对业绩及可持续性进行了实证研究,为基金的评价和监管提供科学的依据。

Based on the conventional evaluation methods (fund total return ,or risk-adjusted, such as the Sharpe ratio or Jensen's alpha)of the securities investment funds in the developed countries, the paper uses data envelopment model (DEA) and R/S model(Hurst index) to empirically research the relative performance and its sustainability of investment funds, and some interesting conclusions are put forward.