封闭式基金的业绩评估

The Performance Evaluation on Closed-end Funds

本论文以资产组合理论和资本资产定价模型(CAPM)为理论基础,采用单指数模型来对收集的数据做回归分析。然后应用业绩评估的传统理论和M^2测度理论来对封闭基金的业绩进行评估。论文收集20只封闭式基金最近的月业绩和周业绩数据来做为样本,论文包含两部分。一是对相关理论进行介绍,以及它们在实际处理中的应用(比如基准投资组合的选取,无风险利率的构造)。二是结合样本数据进行的实证研究,计算出各评估指标,并进行排名。然后从经济学和实际意义上对结果加以解释和分析。

This paper is based on the portfolio theory and capital asset pricing model （CAPM）, and uses single-factor model to do the regression. Then by using the traditional theory of performance evaluation and M^2 measure, this paper performs an evaluation on Chinese closed-end funds. The sample includes 20 closed-end funds, with the latest monthly and weekly data. The paper includes two parts. The first part is to introduce the related theories and how to apply them to deal with the practical problem, such as selecting the benchmark portfolios, constructing the risk-free ratio. The second part is to do the assessing with the sample data, compute out the value and rank of each measure. Then, it explains the result under economic and practical background.