基于因子分析模型的基金业绩分析

An Analysis of Fund Performance Based on the Factor Analysis Model

近年来,我国证券投资基金规模不断壮大,成为我国资本市场上一支不可或缺的力量。证券投资基金是众多中小投资者的重要理财工具,因此,其业绩评估成为众多投资者以及管理者关心的重要话题。文章以成立于2008年之前的开放式股票型基金,共61只,为研究对象,分析了影响基金整体业绩的基金月平均收益率、标准差、夏普指数等若干主要因素。通过运用数据,采用因子分析的方法进而对基金业绩进行分析,综合得出了影响基金业绩的三个综合影响因子,并通过因子得分分析得出整体业绩排名前十的基金。为众多投资者提供了一个基金业绩评估的有效方法。

Securities investment fund is growing fast in recent years in China, and it has become an indispensable force in capital market in the country. With this kind of fund now being an important financial instrument for many medium and small investors, the evaluation of its performance has become an important topic among them. This paper studied 61 open-ended equity funds, which were founded before 2008, and analyzed the main factors influencing their performance, which include foundation month average yield, standard deviation, the Sharpe Ratio and so on. On the basis of data and though factor analysis, the performance of the funds was discussed, and three factors that influence fund performance were also found out. Besides, top ten funds with good performance were ranked through factor score analysis. The findings of this study might provide many investors with an effective method to evaluate fund performance.