基金绩效评价问题研究

Data Envelopment Analysis of Funds Performance Based on Second-order Stochastic Dominance

在纷繁复杂的投资环境中,如何根据产品的收益风险表现,对众多的基金进行投资价值分析是投资者面对的首要问题。最为直接而有效的方法就是根据各基金以往在市场中运作的绩效表现来为基金"打分",并以此为根据对基金划分等级。这样投资者就可以根据自己的风险偏好从中选择一支基金作为理想的投资对象。本文将围绕收益与风险这两个对基金投资选择产生决定作用的要素进行分析讨论,以此作为对基金绩效评价的依据。并通过实证研究,为不同风险偏好的投资者根据特定时期的市场情况选定用于评估基金绩效的模型提供依据。

In the complicated investment environment, the most important issue in front of investors is how to proceed investment fund value analysis according to the product performance. The most direct and effeetive way is to ＂Points＂ each of fund according to their past performance operated in the market and use it as a hierarchy. So investors can choose their own risk preference fund as an ideal investment. This paper will always focus on the two deeisive elements risk and reward during the process of the fund performance evaluation diseussion. Through empirical research, we provide certain models for different risk preferences investors during specifie market situation to evaluate fund performance.