基金业绩评价和持续性实证研究

An Empirical Study on Investment Fund Performance Evaluation

本文对几种经典的基金业绩评价模型进行了比较分析,并介绍了这个领域的新的评价方法——索地诺比率(Sortinoratio),结合我国股票市场行情对十家典型的基金进行实证研究,结果发现我国证券投资基金在失去新股配售权以后大多数基金没有发挥集合投资,专家理财的优势,基金中短期业绩不具有持续性。

A comparative study is made on some time-honored fund performance evaluation patterns, and a new one, Sortino ratio is presented. After an empirical study of ten typical funds in the stock market in China, it is held that most funds fail to resort to the strength of collective investment and financing by experts after the security investment funds lose the rights issue, and the short & medium-term performance is not persistent.