基于时变β的基金绩效评价方法及实证研究

The Assessment of Fund Performance and Empirical Research Based on Time-Varying Beta

无论对投资者还是基金公司证券,投资基金的绩效评价具有重大意义。评估基金的投资绩效,不仅要考察基金的平均收益率,而且要看它承受的风险。本文利用我国基金市场数据样本,在考虑基金贝塔系数时变的情况下构造TVB指标,并且通过实证研究,对比出这种对基金绩效评价方法的优越性。

The performance assessment of securities investment funds is important for both investors and the funds. The performance should be assessed in terms of risks as well as average earnings. However,the indices of Sharp,Treynor,and Jensen did not consider the time-varying beta coefficient. This paper proposes a new assessment method,TVB index,with sample data from China funds. The paper empirically shows the merits of TVB index considering the time-varying beta coefficient.