1
2005 218 4714.86 4691.16,,,,,?, 1 0.47-8.02, 0.05-7.51, 0.47-8.02,, 0.05-7.51,, 0.47-8.02 0.05-7.51 2 0.02-4.99, 0.003-3.02 0.02-0.07 0.012-0.042 3 0.6011-9.5346 0.05-9.53 TM HM, 2
1 ----------------------------------------------------------------------------------1 2 ----------------------------------------------------------------------------2 2.1 ------------------------------------------------------3 2.2 ---------------------------------------------------------------------4 2.3 ---------------------------------------------------------------------6 2.4 ---------------------------------------------------------------------7 2.5 ------------------------------------------------------------------8 3 -------------------------------------------------------------8 4 ----------------------------------------------------9 4.1 -------------------10 4.2 ----------------------------11 4.3 --------------------------12 4.4 ()---------------12 4.4 --------------------------------------------------------------------------13 5 --------------------------------------14 5.1 -----------------------------------------14 5.2 -----------------------------------------15 6 -----------------------------------------------18 6.1 CAPM ---------------------------------------19 6.2 APT -------------------------------------------20 6.3 -------------------------------------------------------------------------21 7 -----------------------------------------------------------------------22 -------------------------------------------------------------------------23 1
1,, (2002) :,,, (2002) :,,,, (2002)2001, 2002,, 2002,,,, (1) (2) Geotzmann, Ingersoll and Ivkovc(2000) (3) Roll(1978), A α ( α >0), B, -α Lehnmann and Modest (1987) CAPM APT Grnblatt and Ttmann(1994), Roll(1980,1981), 1
: π p,, π p π m p M, M, M M, β M M, : π p = π p - m M π / β M,Danel(2002) (Monte Carlo Smulatons), : (4) Admat and Ross(1985), Grnblatt and Ttman(1989),, 20 60,,, " " 2003 ( 12/24/2002), (2002), : 30, ( Ferson and Schadt 1996),? 2 2
2.1 : (1) portfolo benchmark, 1, Excess Return ALPHA Sharpe RatoTreynor Rato (2) 2 Jensen Index α β TM γ HM δ Equally Weghtng Index Value Weghtng Index 3
2.2 2.2.1 (1)22 2000 6 1 2003 2 28 33 (2)22 2000 5 26 2003 2 28 132 2.2.2 1 22 33 132 132 30 2 2000 5 26 1096.43 88.85% 7.5% 103.7% 80.49% 85.09% 95% [76.6% 101.14%] 3 ( ) 4
5%,, 60% 4 (,)1998 4 7, 2000 6 1 2003 2 28,,; 2001 6, 12, 21, 650 500 350 1 5 0.0143% 2.15% 95% [-3.51% 3.54%] -0.0755% 1.77% 95% [-2.98% 2.83%] 82.41% = C+β + 5% C=0 β=1.003248 0.68 88.85% 60% 5
82.41% 0.68 0 1.00 2.3 ALPHA Excess Return ALPHA ALPHA, ;, ALPHA= ER ER = ER R ) ( ER R ), m ( f m f ; Treynor raton Jack L.Treynor (1965) r f r β r rf Treynorrato( TR ) = (1) β TR TR j j sharpe rato SR Wllam F.Sharpe(1966) Sharpe rato: SR r rf =, (2) σ SR SR j j Jensen Index JI Mchael C.Jensen(1968) α r f r M r β 6
α = r r + β ( r r )], (3) [ f M f α α 0 Danel(2001) α TM Treynor and Mazuy(1966) CAMP γ : r r f = 2 α + β ( rm rf ) + γ ( rm rf ), (4) γ 0 And and Ross(1986) TM Ferson and schadt(1996) TM Comer(2001) TM HM Henrksson and Merton (1981) CAPM HM r = α + β r r ) + δmax(( r r ),0), (5) ( m f m f δ > 0 Ferson and schactt 1996 HM Comer(2001) HM 2.4 (1) (2) EW : 7
;(3) R f 1999 6 10 2002 2 21 2.25% 2002 2 21 1.98% (4) VW EW 2.5 (1) (2), VW (3) EW (4) (5) (6) (7) (8) R 80 % R + 20% R p = ;(9) m ;(10) : R R = % R + 20% R R = 80%( R R ) p f 80 m f f m f f R m 3 3.1 (1) 22 (2) 22 ALPHA, SR, TR (3) 22 ALPHA, SR, TR (4) 22 ALPHA, SR, TR ALPHA, SR, TR ;(5) 22 ALPHA, 8
SR, TR ALPHA, SR, TR ;(6),,, 4 938 (2004) 3.2 (1) α, γ δ t (2) t (3) α, γ δ (5% t ) (4) 3 3 3 3 12 2760 (2004) 3.3 (1) (2), APT,TM HM (comer(2001)) (3) (4) (5) :,,, 4 828 (2004) 4 1 = 9
(1),(2),(3) (1) (2),(4),, (5) 4.1 (1), ( 3) 3 α SR TR (%) (%) (%) 66 66 66 0 61 92.42 58 87.88 52 78.78 0 60 90.91 51 77.27 43 65.15 (2), ALPHA ALPHA, ( ) 0.12 52-0.4058 12=6.24-4.8696=1.37 ; : 1.37% 4.8696%=0.28, 1.37% 6.24%=0.22 10
4 ALPHA ALPHA 0.12 0.1162 0.295-0.044 0.0001735 0.4058 0.3646 1.054-0.2394 0.291133 (3) (1) (2) ALPHA SR TR 1.37 ( ), : 0.22-0.28 4.2 (1) ( 5),, 5 α γ δ 66 66 66 0 52 78.79 3 4.55 3 4.55 0 3 4.55 0 0 0 0 66 66 66 0 43 65.15 53 80.3 38 57.58 0 2 3.03 3 4.55 0 0 (2) α α 0.000482 52 100-0.08902 12=2.5064-1.06824=1.44, 1.44 : 1.44% 1.06824%=1.35, 11
1.44% 2.5064%=0.57 6 α α 0.000482 0.000463 0.00195-0.000872 0.000663 α 0.08902 0.059488 0.678581-0.534658 0.290985 4.3 4.1 4.2,, 1.37 ; 1.44,, 1.37-5.17, : 5.17176% 1.06824%=4.84, 1.3704% 6.24%=0.22 0.22-4.84 4.4 () (1),, 7 α γ δ 63 42 42 0 59 93.65 13 30.95 13 30.95 0 27 42.86 3 7.14 6 14.29 24 10 10 0 13 54.17 6 60 6 60 0 3 12.5 1 10 1 10 12
(2) α α : 9.09%-2.04%=7.05% 7.05 : 7.05% 2.04%=3.46, 7.05% 9.09%=0.78 8 α α 9.09 8.09 24.21-9.24 7.00 α 2.04 0.348 13.05-18.09 4.704 3,, 7.05, 0.78-3.46 ; 4.4 3.3 3.4,, Danel(2002) α, 0.47-8.02, 8.02176% 1.06824%=7.51, 0.4664% 9.09%=0.05 ; 0.05-7.51,,, 0.47-8.02 ;,, 0.05-7.51,,, 0.47-8.02 ;,, 13
0.05-7.51 5 2:, :(1),, (2),, (3) (1) (2) 5.1 (1),, 9 α SR TR (%) (%) (%) 44 100 44 100 44 100 40 90.91 36 81.82 33 75 40 90.91 36 81.82 33 75 41 93.18 37 84.09 29 65.91 (2), : 4.96% 14
5.25% 5.62%; : ; : (3) (1) (2),,, ; 0.29-0.66 ; 0.66% 4.96%=0.133, 0.29% 5.62%=0.052 ; 0.052-0.133 10 ALPHA 1 0.412938 0.368796 1.044585-0.19117 0.289087 SR 1 0.050311 0.043971 0.234999-0.09265 0.062729 TR 1-0.39391-0.00325 0.130585-1.5939 0.495786 ALPHA 2 0.437828 0.401322 1.0616-0.18139 0.289184 SR 2 0.048686 0.044385 0.229079-0.09857 0.061983 TR 2-0.40569-0.00331 0.134889-1.65513 0.509416 ALPHA 3 0.468803 0.473254 1.1816-0.23944 0.305688 SR 3 0.043906 0.041181 0.211109-0.11654 0.06158 TR 3-0.43194-0.00341 0.139636-1.71036 0.543511 5.2 (1) 6,, ; 15
11 α γ δ % % % 44 44 44 0 33 75 20 45.45 15 34.09 0 2 4.55 0 0 0 0 44 44 44 0 33 75 23 52.27 18 40.91 0 2 4.55 3 6.82 0 0 44 44 44 0 29 65.91 13 29.55 8 18.18 0 2 4.55 0 0 0 0 (2) 6, 1.65% 1.70% 1.72% 12 α 0.141912 0.117837 0.7068-0.45665 0.278729 0.143082 0.1174 0.7184-0.47565 0.277832 0.137551 0.1618 0.78-0.53466 0.296329 Danel(2002) α,, 1.65% 1.70% 16
1.72%; 0.02-0.07 ; 0.07% 1.65%=0.042, 0.2% 1.72%=0.012 ; 0.012-0.042 13 13 α α 0.143138 0.144279 0.139089 (3), 1.65% 1.70% 1.72%;,,,, 0.2-3.97 ; 3.97% 1.65%=2.41, 0.02% 5.62%=0.12 ; 0.0036-2.41,,, (4) : 14 α γ δ (%) (%) (%) 87 52 52 0 72 82.76 19 36.54 19 36.54 0 30 34.48 4 7.69 7 13.46 (5) 17
0.5537% 6.6444% 15 ALPHA 0.5537 0.5016 1.8624-0.7104 (6) (3), (4) (5), 1.65% 1.70% 1.72% 6.64%;,,,,, 0.02-4.99 ; 4.99% 1.65%=3.02, 0.02% 6.64%=0.003 ; 0.003-3.02,,,,, :(a) 0.02-4.99, 0.003-3.02 (b) 0.02-0.07 ; 0.012-0.042 6 3, 18
:(1) CAPM,(2) APT, (3) (1) (2) 6.1 CAPM (1) : 16 TM HM % % % 132 132 132 0 95 71.97 92 69.70 99 75 0 6 4.55 17 12.88 27 20.45 (2) 17 0.140848 0.1268 0.78-0.53466 0.282254 TM 0.237076 0.285768 1.0932-0.79868 0.400956 HM 0.386519 0.3942 1.3964-0.92462 0.535869 (3) : 18 TM HM % % % 6 6 6 0 6 100 4 66.67 5 83.33 0 0 0 1 16.67 2 33.33 (4) : 19
19 α 0.142168 0.143138 0.242 0.036178 0.069766 TM 0.23804 0.253804 0.5836-0.16413 0.325569 HM 0.394566 0.420085 0.8968-0.15095 0.442017 (5) (1),(2),(3) (4): 1.69% TM 2.84% HM 4.64% :1.71%,2.86%,4.73%,, HM, TM,, 1.15-2.95 ; 2.95% 1.69%=1.75, 1.15% 4.64%=0.25 ; 0.25-1.75 6.2 APT 1 APT : 20 APT TM HM % % % 29 29 29 0 24 82.76 22 75.86 26 89.66 0 4 13.79 13 44.83 13 44.83 2 APT 3.4411% TM 6.786% HM 11.2246% 20
21 APT 0.034411 0.035932 0.111252-0.03136 0.032819 TM 0.06786 0.080548 0.148928-0.06058 0.060175 HM 0.112246 0.128024 0.242112-0.09235 0.088937 3 (1) (2): HM, TM,, 3.3449-7.7835 ; 7.7835% 3.4411%=2.26, 3.3449% 11.2246%=0.30 ; 0.30-2.26 4 Comer(2001), ; :,3.95-1.75=2.2, 6.58-3.95=2.63 22 TM HM 1.69 2.84 4.64 3.44 6.79 11.22 1.75 3.95 6.58 6.3 CAPM APT, HM, TM,, 0.6011-9.5346 ; 9.5346% 1.69%=5.64, 0.6011% 11.2246%=0.05 ; 0.05-9.53,, TM 21
HM ;,,, 0.6011-9.5346, 0.05-9.53 7,, (1),, 0.47-8.02 ;,, 0.05-7.51,,, 0.47-8.02 ;,, 0.05-7.51 (2) :(a) 0.02-4.99, 0.003-3.02 (b) 0.02-0.07 ; 0.012-0.042 (3), TM HM ;,,, 0.6011-9.5346, 0.05-9.53 22
(1) Admat, Anat R., and Stephen A. Ross, 1985 Measurng nvestment performance n a ratonal expectatons equlbrum model. Journal of Busness 58(11), 11-26. (2) Comer,George,2001 The Performance of Maket Tmng Mutual Funds.UMI Mcroform 3028676. (3) Danel, N. D., 2002, Do specfcaton errors affect nferences on portfolo performance? evdence from Monte Carlo smulatons, Workng Paper (4) Ferson, Wayne E. and Rud W. Schadt, 1996 Measurng Fund Strategy And Performance In Changng Economc Condtons. Journal of Fnance 51(2,Jun), 425-461. (5) Geotzman,Wllam,Jonatthan Ingersoll,and Zuran Ivkovc,2000 Monthly Measurement of Daly Tjournal of Fnancal and Quanttatve Analyss 35,259-290. (6) Grnblatt, Mark and Sherdan Ttman, 1989 Portfolo performance evaluaton: Old ssues and new nsghts. Revew of Fnancal Studes 2(), 393-421 (7) Grnblatt, Mark and Sherdan Ttman, 1994 A Study Of Monthly Mutual Fund Returns And Performance Evaluaton Technques. Journal of Fnancal and Quanttatve Analyss 29(3), 419-444. (8) Henrksson, R. D., and R. C. Merton, 1981 On market tmng and nvestment performance. II. Statstcal procedures for evaluatong forecastng sklls. Journal of Busness 54(4), 513-533. (9) Jensen, Mchael, 1968 : The performance of mutual funds n the perod 1945-1964. Journal of Fnance 23(2), 389-416. (10) Lehmann, B., and D. Modest, 1987 : Mutual fund performance evaluaton: A comparson of benchmarks and benchmark comparsons. Journal of Fnance 42(2), 23
233-265. (11) Roll, R, 1978 : Ambguty when performance s measured by the securtes market lne. Journal of Fnance 33(4), 1051-1069. (12) Roll, R, 1980 Performance evaluaton and benchmark errors(i). Journal of Portfolo Management 6(4), 5-12 (13) Roll, R, 1981 Performance evaluaton and benchmark errors (II). Journal of Portfolo Management 7(2), 17-22. (14) Sharpe, Wllam F, 1966 Mutual fund performance. Journal of Busness 39(1), 119-138. (15) Treynor, Jack, 1965 How to rate management of nvestment funds. Harvard Busness Revew 43(), 63-75. (16) Treynor, Jack and K. Mazuy, 1966 Can mutual funds outguess the market. Harvard Busness Revew 44(), 131-36. (17) 2002 2002 7 ; (18) 20012001-11-19 (19) 2000 2000-1; (20) 2001 2001 9 (21) 2002 2002 1 (22) 20012001 9 ; (23) 2001 ; (24),2004:,, (25),2005:, 2005 5 ; (26),2005:, 2005 3 ; (27),,2003:,2003 6 (28),, 2003:, 2003 6 24
(29) 2003, ; (30),,2002 2002 12 ; (31) 2002 2002-11-27; (32), 2003 25