证券投资基金的绩效评价风险调整收益指标探讨

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弼濮
9 years ago
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3 Based on the analysis of the decomposition of securities investment funds, the paper demonstrates that funds performance evaluation should include the market-timing ability and security selection ability of a fund manager. Based on this, this paper makes a thorough analysis of three risk adjusted ratios: Sharpe index, Treynor index and Jensen index, and illuminate their relationship and imperfection. Then, according to the economic environment of our country, it comes to a conclusion that Jensen index is the most suitable method of funds performance appraisement in the capital market of China. Finally, the paper reminds the readers of some important problems, which should be paid attention to, when evaluating securities investment funds. 2

4 , ,,, 1,, Treynor Mazuy (1966),,,Engene Fama (1972), 1 1 3

5 p A SML r p B f C p 1 1,, [ p - f ]=[ p - ( p )]+[ ( p )- f ] : ( )= ( )+ ( ) p, ( p ) p, f,, ( p ),,,, [ ( p )- f ]=[ ( p)- ( ( p))]+[ ( ( p))- f ], ( ( p )) p, ( p)- ( ( p)) p,,, p ( ( p))- f, 4

6 ,,,, 20 60,, ( ), (Sharpe) (Treynor) (Jensen), 1 (Sharpe) 1966 S p = ( p - f )/ p S p p, f, p CAPM ( ), M CML P M CML, 2 (Treynor) 1965, 5

7 T p = ( p - f )/ p T p CAPM SML SML SML SML SML, 3 (Jensen) ,, J p J p = -[ f + p ( - f )],, SML,,,,, 1 - = + ( - )+ J p, ( ), 6

8 SML,,, 2 T p = ( - )/,,,, ( - ), 3,,,,, 1 T p = ( p - f )/ p m =1 7

9 J p = p -[ f + p ( - f )] T m = m - f 1-1 p - f = ( - f )+ J p T p = ( p - f )/ p =[ p ( - f )+ J p ]/ p = J p / +( - f ) = J p / p + T m 1-3 J p / p J p / p 2 S p = ( p - f )/ p S m = ( p - f )/ m 1-4 S p = ( p - f )/ p =[ ( - f )+ J p ]/ p 1-5 P M p= cov p f / 2 m = pm p m / 2 m = pm p / m = pm = p m/ p S p = J p / p + ( - f ) / p = J p / p + ( p m/ p ) = J p / p + ( - f )/ m =J p / p + S m ( - f )/ m 1-7 J p / p ( ) 1 S p T p 8

10 T p T p 2 1,, S p S m S p S m 2 9

11 p - f = + ( - f )+ P CAPM =0 P CAPM 0 P ( ) Appraisal Ratio AR = / ( ), 3, : 1 1 CAPM, Harry Roberts weak form semi-strong form strong form,, 2,,,, 1998,,, 10

12 3,, 2000,,,,,,, ( ),,,,,,,,,, 2,,,,,,,,,, 1,,, 2, 2, 1 2.., 2005,(1) 11

13 (prospect theory) S (reference point) ( ) ( ) (disposition effect) 2,,,,,,,,,,,,,, 12

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15 ,.., 2001,(9). 2,.., 2004,(7) 3.., 2003,(3) 4.., 2002, (2) 5.., 2004, (5), , 2004,(12) ,,.., , , ,.., ,.., Sharpe,W.F. Mutual fund performances. Journal of Business, 1966, 3(12) 13 Treynor, J. How to rate management investment funds. Harvard Business Review, 1965,(1) 14 Jensen,M. The performance of mutual funds in the period ( ). Journal of Finance, 1968,23(2) 15 Engene Fama. Components of investment performance. Journal of finance, 1972(6) Zvi Bodie, Alex Kane, Alan J.Marcus. Essentials of Investments, the McGraw-Hill Company

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