基金绩效评定的一种综合方法

A Comprehensive Approach to Fund Performance Assessment

在证券投资领域中,收益率、标准差、夏普指数、特雷诺指数和詹森指数是评价基金绩效的五个重要指标。由于这五个评价指标互有长短,对基金绩效的评价结果也互不相同,导致投资者无所适从。而运用标准差和平均差极大化方法构造一种综合评价测度指标,并吸取述上述五个指标的长处,可对基金绩效作出唯一和合理的评价。通过实证分析和应用比较,证明新建立的综合评价测度指标是科学可行的。

In the field of securities investment, earning rate, standard deviation, Sharpe index, Treynor index and Jensen index are five important indexes for assessing fund performance. As the five indexes have their respective advantages and disadvantages and different assessment results, investors do not know what course to take. However, if we construct a comprehensive measuring index using the method of standard deviation and mean difference maximization and assimilate the advantages of the above indexes, we can make the unique and reasonable assessment of fund performance. Through empirical analysis and comparison of application, it is proven that the new comprehensive measuring index is scientific and feasible.