基于风险调整收益的开放式基金业绩评价

On Risk-adjusted Performance Assessment of Open-end Funds

运用风险调整收益方法,对我国42只股票型开放式基金的业绩进行了检验,同时还结合基金的操作理念及证券市场行情对其业绩进行了分析。结果显示,开放式基金从总体上超越了市场表现,在一定程度上体现出了专家理财的能力。我国开放式基金偏好大盘价值型股票,在2003年普遍取得了良好的投资业绩,2004年上半年,由于重仓持有的大盘蓝筹股急剧下挫,开放式基金的业绩大幅下滑,价值投资的理念受到了普遍质疑。此外,开放式基金的业绩持续性不强,过去表现好的基金并不意味着一定能在未来取得好的收益。

By using risk-adjusted revenue, the author examines the 42 open-end equity funds and analyses their performances with the help of fund operation theory and relevant security prices. It is observed that the funds generally out-perform the market, which speaks for the expertise of professionals. China's open-end funds generally favor large-scale value-oriented companies and they achieved good result in 2003. But the rapid fall of those blue chips in the first half of 2004 sent the performance of those funds into a big downturn, and the idea of value-oriented investment is broadly questioned. Besides, the weak sustainability of the funds shows that good performance of the past does not necessarily mean a high yield in the future.