Sharpe指数评价中国证券市场基金业绩的适用性

The Application of Sharpe Index in China's Securities Market

Sharpe指数是一种风险调整后的基金业绩评价方法,目前在国内外较为流行。但由于它以CAPM为理论基础,CAPM本身的有效性以及现实中的市场对CAPM假设的违背,导致了Sharpe指数的严重缺陷。此外,Sharpe指数还有结果不易解释,当Sharpe指数为负数时评价失效等缺点。为此,国外学者纷纷提出M2方法等改进,但这些方法也存在着一些缺点以致应用范围有限。Sharpe指数在结合其它方法谨慎使用的条件下,在现实的中国证券市场中仍然具有一定的适用性。

Sharpe index is one of the most widely used measures of evaluating investment funds in securities market at home and abroad. However, as the index is based on CAPM (capital asset pricing model), while the effect of CAPM itself is not certain and the realities are often inconsistent with hypotheses of CAPM. In addition, the result of Sharpe index is uneasy to explain and not available when it is negative. Concerning about the Sharpe index's inadequacies, method and other methods are produced, but these method also have some defaults. Therefore Sharpe index is still applied for China's securities market with combination of other methods.