基于SFA效率值的我国开放式基金绩效评价研究

A Study on the Performance Evaluation of Chinese Open-ended Funds Based on SFA Efficiency Value

线性因子定价模型的回归残差一般不服从正态分布,这会导致以其为基础的基金绩效评价指标存在一定的缺陷,投资者根据这些指标无法选择合适的基金进行投资,而SFA效率值指标则考虑到了上述缺陷。本文在Carhart四因子模型的基础上,选取2005年1月～2008年7月期间74只开放式基金的数据,使用随机前沿分析方法对我国开放式基金的绩效评价问题进行了考察。结果表明,我国开放式基金存在显著的技术非效率,常用绩效指标之间具有排序不一致性问题,SFA效率值指标与基于常用绩效指标的综合性指标之间具有很高的相关性。

The regression residuals of linear factor pricing models often have not normal distribution. This fact will result that the performance evaluation indicators based on them have some shortcomings and investors can＇t choose satisfactory funds to invest according to these indicators. But SFA efficiency value considers this fact. This paper uses Carhart four-factor model and chooses the data of 74 open-ended funds from 2005 M1 to 2008 M7 to investigate the performance evaluation problem of Chinese open-ended fund based on stochastic frontier analysis. The results show that our open-ended funds have technological non-efficiency significantly and there is an inconsistency problem of performance rank according to the common indictors. SFA efficiency value indicator is highly related with the synthetic indicator based on the common indictors.