摘要
本文以马科维茨的现代投资组合理论和威廉·夏普的资本资产定价模型 (CAPM)为理论基础 ,结合我国投资基金的现状 ,借鉴国内外同行对投资基金绩效评估的研究 ,运用夏普业绩指数、特雷诺指数及詹森业绩指数 ,从三个方面对我国投资基金的业绩进行了评估 ,并对在我国投资基金中有代表性的 10只基金的综合业绩进行了实证分析。勾勒出关于我国证券投资基金业绩评估的基本框架。
The paper is based on the modern investment portfolio theory of Markowitz and the CAPM of William Shape.Combining with the present situation of investment fund in China, using the investment fund performance evaluation research at home and abroad as the reference, adopting indexes such Shape, Treyner, Jesen, it evaluates the performance of investment funds in China in three aspects, and makes a case analysis on the ten representative funds in China. Thus the basic framework of securities investment funds performance evaluation is delineated.
出处
《华中科技大学学报（社会科学版）》
2002年第3期71-74,共4页
Journal of Huazhong University of Science and Technology(Social Science Edition)
关键词
综合业绩
夏普业绩指数
雷诺指数
詹森业绩指数
comprehensive performance measurement
Shape
Treyner
Jesen performance index
