摘要
本文用评价基金绩效的传统"三大指数"及目前流行的VaR、RAROC等指标对我国的证券投资基金进行了绩效评估。结果表明各种指标对基金评估的优劣排序差异均较大。因此本文在这些指标值的基础上,建立了因子分析模型并通过SPSS进行因子分析,得出了样本基金的综合排名。因子分析的结果还表明,目前比较成熟的指标主要反映的是基金收益和风险两方面的信息。
This paper aims to cheek the fund＇s performance evaluation of China, which roundly uses the conventional ＂Three Indices＂ and the presently fashionable VaR, RAROC, T - M indices and so on. Based on it, the factor analysis model is built and analyzed at length by SPSS. Further then, all the objective funds are ranked. We find that different rank can be got by different indexes, and the absolute value also different.
出处
《中山大学研究生学刊（社会科学版）》
2006年第1期130-140,共11页
Journal of the Graduates Sun YAT-SEN University(Social Sciences)
