单因素指标评估投资业绩的实证研究

Empircial Study on Performance Evaluation of Single Index

首先就Sharpe指数、Treynor指数、Jensenα指数三个传统单因素指标以及最近的M2、M3等指标进行简单介绍;其次,运用单因素指标对投资业绩进行了实证研究;最后,指出了现有指数的不足以及修正指数的提出。

This Paper,in the First Place,Study on Three Traditional Single Index,That Is,Sharpe Index,TreynorIndex,JensenαIndex and M2、M3;in the Second Place,Study on Empircial Study on Performance Evaluation of Single Index;in the End,Propose the Disadvantages of Present Index and Offer Amending Index.