Wind.NET Shanghai Wind Information Co., Ltd. : 33 9 Zip: 20020 Tel: (862) 6888 2280 Fax: (862) 6888 228 Email: sales@wind.com.cn http://www.wind.com.cn
... 2...2 3...5...5...6...7...8...9... 4... 2...2...3...4...5...6...7...8...9 5... 20...20...2...22...23...24 6... 25...25...27...30 7... 3...3 8... 33...33...34 I
...35...36...37 9... 38...38...40...42...43...44...45...46...47...50 0... 53 II
Wind.NET Wind.NET Wind.NET 4.0 [ ] [ ] [ ] [ ] [
Wind.NET Wind.NET 7 7 4 3.0..2.3.4.5.6.7.8 2
Wind.NET.9.0..2.3 2.0 2. [ ] 2.2 [ ] 2.3 [ ] 2.4 [ ] 2.5 [ ] 2.6 [ ] 2.7 2.8 [ ] 2.9 [ ] 2.0 2. 2.2 2.3 [ ] [ ] 3.0 3. 3.2 3.3 3.4 3.5 3.6 3.7 4.0 4. 4.2 4.3 5.0 5. 6.0 6. 6.2 6.3 3
Wind.NET 6.4 6.5 7.0 7. 7.2 7.3 7.4 7.5 7.6 7.7 7.8 7.9 4
Wind.NET 5 % 00% = % 00% = % 00% = % =
Wind.NET T T T T % a = 00% b a b T % T % T 3 % T 6 % T 2 % T % T % % a T b T T 6
Wind.NET 7 % %[ ] %[ ] ( ) 2 = = n X xi x n i σ xi X %
Wind.NET.00 [] = [2] = [] [2] % [] = 00% [2] = 00% n = n i= % n = n i= % 8
Wind.NET T T % % T 3 = a b T 3 a = 00% b T 6 T 6 T 2 T 2 T T a T b 9
Wind.NET % % 0
Wind.NET
Wind.NET 2
Wind.NET % % % % % % 3
Wind.NET 4 % A % % % % %
Wind.NET 5 % A % % 0 % % %
Wind.NET 6 % % % % % % % % %
Wind.NET 7 % % % %
Wind.NET [ ] [ ] - [ ] [ ] [%] [ ] [%] 8
Wind.NET [ ] [ ] [ ] [ ] [ ] [ ] 9
Wind.NET % % % % % % % 20
Wind.NET Alpha Sharpe Treynor ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x XY Sharpe = Treynor = β Jensen = Rp Rf β Rm Rf Jensen ( ) [ ( )] Rp Rf Rm % n X = xi n i= xi % n X = n ( + xi) i= % n X ' = ( xi Rf ) n i= Rf n % X ' = n ( + xi Rf ) i= 2
Wind.NET % n 2 ( xi X ) i= σ x = n xi Beta ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x XY Cov ( x, y ) ρxy = σx σy y x Cov 2 y α y β xy σ ei = n 2 22
Wind.NET % R Rf 2 ( Rm Rf ) + γ ( Rm Rf ) ε = α + β + R Rf Rm T = T t= ( R ) 2 P R 00% t It R p R I T Information Ratio William Sharpes = = T ( + RP t ) ( + RI t ) t= T T ( RP t RI t ) t= T t= 2 R p R I T 23
Wind.NET 24
Wind.NET [ ]. 2. = 3. A 0 = A < 0 [ ] P SPCR = 00% P 0 SPCR A P P 0 % % % 25
Wind.NET A 0 = A < 0 26
Wind.NET [ ]. 2. 3 0 3.. 2. = 3. 0 = < 0 4. 7 3 % % 27
Wind.NET 28 % % NAV SNAV SNAV P P S S + = 2 0 0 [ ] % % % 00% 0 = S S P P % NAV SNAV SNAV P P S S + = 2 0 0 %
Wind.NET % 0 = < 0 29
Wind.NET % [ n ( )] 00% N N = N % ( n ) = 30
Wind.NET 3 > < = 2.25 2.25.75.75 = + 3 2 + = = = % N = % N = % = = Wi Wi
MVi = NI i Wind.NET MVi * NIi MVi = Equity i MVi * Equityi 32
Wind.NET % % % % 33
Wind.NET 34 % % % % % % % %
Wind.NET % % 35
Wind.NET [] 36
Wind.NET 37
Wind.NET [ ] [ ] [ ] [ ] [ ] ( ) (%) / / 38
Wind.NET 39
Wind.NET % % % % % % % % % % % % % % % % % % % % 40
Wind.NET 4
Wind.NET 42 % % % % % % % % %
Wind.NET 43 % % % % % % % % %
Wind.NET 44 % % % % % % % % %
Wind.NET 45 % % % % % % % % %
Wind.NET 46 % % % % % %
Wind.NET 47 > < = 2.25 2.25.75.75 = + 3 2 + = 0 = * 5 0 =
Wind.NET * 5 0 N = 0 N = 0 = Wi Wi = MVi = NI i MVi * NIi 48
Wind.NET MVi = Equity i MVi * Equityi 49
Wind.NET Alpha Beta Sharpe ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x X Y Sharpe = Treynor Treynor = β Jensen = Rp Rf β Rm Rf Jensen ( ) [ ( )] n X n ( + xi ) Rp Rf Rm n X = xi n i= xi = i= n X ' = ( xi Rf ) n i= n X ' = n + xi Rf i= ( ) 50
Wind.NET Alpha Beta Sharpe n ( xi X ) 2 i= σ x = n xi Cov( x, y) ρxy = σx σy y x Cov 2 y α y β xy σ ei = n 2 y x ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x XY Sharpe = Treynor Treynor = β Jensen = Rp Rf β Rm Rf Jensen ( ) [ ( )] Rp Rf Rm n X = xi n i= 5
Wind.NET n X n ( + xi ) xi = i= n X ' = ( xi Rf ) n i= n X ' = n + xi Rf i= n ( ) ( xi X ) 2 i= σ x = n xi Cov ( x, y ) ρxy = σx σy y x Cov 2 y α y β xy σ ei = n 2 y x 52
Wind.NET 500 50 Wind.NET 53
The World s Leading Provider of Chinese Financial Data and Solutions Shanghai Wind Information Co., Ltd. : 33 9 Zip: 20020 Tel: (862) 6888 2280 Fax: (862) 6888 228 Email: sales@wind.com.cn http://www.wind.com.cn