我国开放式基金业绩评价研究

华中科技大学硕士学位论文我国开放式基金业绩评价研究姓名：袁定申请学位级别：硕士专业：企业管理指导教师：王向阳20060429I362004-2005IIAbstractPerformancemeasurementisacrucialpartofmutualfundmanagement.Asopen-endfundsinChinadevelopveryrapidlyandChinesefundindustrybecomesmoreinvolvedintheworld,theproportionofopen-endfundsisbecomelargerinChinesefundindustry.Consequently,theevaluationoftheperformanceofopen-endfundsbecomesafocus.Firstly,thispaperreviewsandsummarizesthetheoriesandmethodsinfundperformancemeasurement.Thenitprovidesacomprehensivestudyoftheperformanceof36open-endfundsinChinaduring2004-2005withempiricalmethod.Thestudyexaminestheriskandincomelevel,riskadjustedperformance,stockselectivityandmarketselectivity,performancepersistencyandthecharacteristicfactorofopen-endfundsinChina.Theempiricalresearchshowsthatmostopen-endfundshavebetterperformancewithlowerrisklevelthanthemarket.Abouthalfoftheopen-endfundshaveshowedexcellentstockselectivitybutmostofthemhavenoevidentmarketselectivity.Asforshort-termperformancepersistency,therawperformanceshowsnopersistencywhiletheriskadjustedperformanceshowssomepersistency.Thecharacteristicfactorshavesomeinfluenceontheperformanceofopen-endfunds.Inbearmarket,theturnoverandthescalearethemostimportantfactorsintheperformanceoftheopen-funds.Finally,basedontheempiricalresearch,thispaperprovidessomeconstructiveadvicetotheadministrationauthorities,fundmanagementcompaniesandfundinvestors.KeywordsL:Open-endfundsPerformanceevaluationStockselectivityMarketselectivityPerformancepersistency111.11998327720051251541644691.16(Sharpeindex),(Treynorindex)(Jensenindex)(CAPM)APT220014-31.21.2.1.Treynor(1965)[1]M2Jensen(1969)[2]19451964Sharpe(1966)[3]1980Ippolito(1989)[4]19651984143127124196911598315Ippolito0.811.1IppolitoIppolitoLehmannModest(1987)[5]GrinblattTitman(1989)[6]LehmannModest(1987)[5]19681982130GrinblattTitman(1989)[6]197419844GrinblattTitman(1989)[6]Fama(1972)[7](1)(2)TreynorMazuy(1966)[8]TMTMAdmati,BhattacharyPfleiderer(1986)[9]TMCumbyGlem(1990)[10]1519821988TMHenrikssonMerton(1981)[11]Merton(1981)(HM)196819801662%,HendricksPatelZeckhauser(1993)[12]5GrinblattTitman(1994)[13]5BrownGoetzman(1995)[14](hothand)Carhart(1997)[15]Christopherson(1998)[16]1975-1986WilliamDromsDavid.Walker(2001)[17]19711990123Israelsen(1998)[18]Kallberg(2000)[19]Indro(1999)[20]GrinblattTitman(1994)[21]Chen(2000)[22]Dahlquist(2000)[23]Sharpe(1966)[24]61.2.2()(1999)[25]1998554(2000)[26]101999112000519(2000)[27]2.25%0.0186%1019998(2000)[28]T-M5199810919996305(2001)[29]T-MH-M1019995101999514200132340%40%20%4%(2002)[30]T-MH-M101080%A20%4%2.25%(2002)[31]3CAPM(T-MH-MG-I-I)7Fama-French3332004[32]16T-MH-M2004[33]200112200316200312262002[34]2003[35]6692003[36]20192003[37]-20001200315%2004[38]16681.3123451.4OLSEviewsSpssExcel922.1()12341012()()32.2199832019982002541181719992001102002200262-12-11998199920002001200251513156541003451151341238172000102001950200220012002200320031013.572004200431002001-200320052-2122-22001200220032004200531439505916511744867817671400441020022002520032003502004LOFETF200520055101333.120603.1.1NAV=/=-/3-13.1.2=-/3-23.1.311411−−−+=tttttNAVNAVCNAVR3-3tRtNAVtC1−tNAV23.21952(H.,Markowitz)[39](ModernPortfolioTheory)39(Sharpe)(Lintner)(CML)(SML)TreynorSharpeJensen3.2.1Treynor1965JackLTreynor[1]TreynorTreynor15pfppRRTβ−=3-4pTTreynorpRfRpβTreynorTreynor3.2.2Sharpe1966(WilliamPSharpe)[2]Sharpe1954196334pfppRRSσ−=3-5pSSharpepRfRpσSharpeSharpeSharpeSharpeTreynorTreynorTreynorSharpeSharpe16SharpeTreynor3.2.3Jensen1968(MichaelCJensen)[3]19451964(CAPM)Jensen19451964115Jensen))((ftmttftptpRRRRJ−+−=β3-6pJJensenptRtmtRttβJensenpJJensen1SharpeTreynorJensen2SharpeTreynorSharpe()Treynor()Sharpe17Treynor3SharpeTreynorSharpeTreynorTreynorSharpe4TreynorJensenSharpeSharpeTreynorJensen3.2.4CAPMGoodwin(1998)[40]AppraisalRatioCAPMβα/FranceModiglianiLeahModigliani1997[41]2M2M2M183.31976Ross[42](TheArbitragePricingtheoryAPT)CAPMCAPMAPTRossijjiizirErEβλβλβλ++++=...)()(22113-7)(zrE()kjij,...,2,1=βjjλjAPTLenmanModest(1987)[5]APTFamaFrench(1993)[43]BPijLTGtCBtifLGBtititiftmtiiftitrrrrSMBHMLrrrrεβββββα+−+−+++−+=−)()()(543213-8mtrttHML//ttSMBt19LTGtrtCTGtrtiαJensenCarhart(1997)[15]FamaFrench(1993)[43]JagadeeshTitman(1993)[44](MomentumFactor)ijtititiftmtiiftitWMLSMBHMLrrrrεββββα++++−+=−4321)(3-9tWMLGruber1996[45]1985-19940.65%3.4Jensen()20TreynorMazuy(1966)[8](TM)HenricssonMerton(1981)[11](HM)3.4.1T-MTreynorMazuyεββα+−+−+=−221)()(ftmtftmtftptRRRRRR3-10α1β2βε2β0)(−ftmtRR2)(ftmtRR−)(ftptRR−)(ftmtRR−2βαααα213.4.2H-MHenricssonMerton1981[11]HenricssonMertonεββα+−+−+=−DRRRRRRftmtftmtftpt)()(213-11α1β2βD0)(−ftmtRRD=10)(−ftmtRRD=0ε)(21ββ+1β2β)(21ββ+1β3.5122WL(LW)(LW)LL,(Cross-ProductRatio,CPR)CPRLWWLLLWWCPR××=3-12CPR1CPR1CPR1CPRTZCPR)ln()ln(CPRCPRZσ=3-13CPRLLLWWLWWCPR1111)ln(+++=σ3-14∑=−=4122)(iiiDDWWχ3-15NL)()(1+×+=3-16NLL)()(2+×+=3-17NL)()(3+×+=3-18NLLWWLLLWD)()(4+×+=3-19N×2χ12χ:0H:1H5%12χ3.842χ0H2χ2CAPMitατα+itτα+ititα),(,1,0ταγγατ+++=+ttuiitttit3-20t,0γt,1γ),(τ+ttuit,1γtH00,1=tγH10,1≠tγt,1γt,1γ243(2001)[46],3.6150001000201