中国证券投资基金绩效评价的理论与实证研究

A Theoretical and Empirical Study on Performance Evaluation of China Stock Investment Funds

文章在回顾与分析基金绩效评估理论的基础上,采用经典的詹森阿尔法及T-M模型、H-M模型,并引入了基于主动投资风险度与风险价值调整后的两个夏普比率新指标,对我国证券投资基金在2001～2002年的绩效表现进行了较为全面的衡量。主要的结论如下:(1)在熊市中,基金组合显示出有较强的抗跌性;(2)我国证券投资基金普遍表现出负的时机选择能力和正的选股能力,虽然这一正值并不大。(3)基金组合的分散化程度较低。

Based on the review and analysis of fund performance evaluation theories, the paper employs the classic Jensen's measure, T-M model and H-M and introduces two new riskadjusted ratio based on Active Risk or Value-at-Risk to make a comparatively comprehensive measurement on the performance of securities investment fund in China from 2001 to 2002. It comes to the conclusion that in a bear market, fund combination can surpass the benchmark; and the securities investment fund in China has universally manifested its negative timing skills, positive, but mall selection skills; and that fund combination is lowly diversified.