证券投资基金绩效评价体系的实证研究

山西财经大学硕士学位论文证券投资基金绩效评价体系的实证研究姓名：张杰申请学位级别：硕士专业：金融学指导教师：杨秀昌2009-05-241567AbstractFundisakindofindirectsecuritiesinvestmentwayinvestorscanreachthepurposeofinvestinginsecuritiesmarketindirectlybybuyingafund.ThefundalreadybecameanimportantinstitutionalinvestorinChinesecapitalmarket.Establishmentoffundevaluationsystemandfondevaluationproductdebutingcanhelpaninvestorknowthecharacteristicandrisk-rectumslevelofafundandcarryoutinvestmentderisionbetter.Thereforeestablishingarationalandindependentsecuritiesfundevaluationsystemwhichisalreadybecomeaveryimportantfactoritcanmakecurrentsecuritiesinvestmentfundvigorousinourcountry.Anobjectiveandimpartialfundvaluationsystemnotonlyismarketizationoutsideconstraintforcetofundadministrantbutalsoareferenceindextotheinvestorcarryoutinvestmentdecisionandcontrolrisk.Howeverthedomesticextantfundperformanceevaluationsystemisshortofindependenceevaluationresultevencontradictsmutuallythecomparisonstandardofperformanceisvariouswidelycausingthesmallandmediuminvestormarketatlooseend.ThisarticleexplainedtheFundandthetheoryandmethodsofevaluationoftheperformanceoftheFund,sumupastepbyfromasinglefactoranalysis,andmorefactorstoevaluate,andgraduallyformasystematicevaluationsystemforthedevelopmentoftheevolutionoftheproposedevaluationoftheperformanceoftheFund,bringupshouldadheretothecomprehensive,fairness,simplicityandinnovativeprinciples.Thisarticleanalysiswitharepresentativeofthechenxing,yinheandzhongxinthreeperformanceevaluationsystemforcomparativeonthemarkettoday,bringuptheevaluationsystemhasmanywaystolearn,practicehasplayedapositiverole,buthardtomeettheneedsofthemarket.Thisarticlelearnthemeritsofthesystemfromtheexistingfundevaluation,accordingtothebasicrequirementsoftheevaluationoftheperformance,combinedwiththerealityofourcountry,inordertofundchoiceforthetargetlayer,therisktoearningsperformancecriteriaforthecontinuitylayer,theaveragemonthlyrateofreturn,liquidityrisk,suchas11Indicatorsfor8sub-layercriteria,determinetheirweight,produceaevaluationsystembasedontheconstructionofAHP.Andthearticleintwophasesoftheconstructionoftheevaluationsystemhadapositivetest,andtestresultstochenxing,theyinheandzhongxinempiricalcomparisonofthesystem.Theresultsshowthatthenewsystemisabetterachieveaqualitativeanalysisandquantitativeanalysismethodofreunification,andselecttargetsmorecomprehensive,scientificmethod,theresultofastrongconvenience,objectivity,accuracyandusefulness.KeyWordsFund;PerformanceEvaluation;AHPResearch1112345678Ji=Rit–Rft+ßi(Rmt–Rft)Ti=(Ri–Rf)/ßi9Si=(Ri-Rf)/diTreynorSharpeCAPMFamaRi=ai+bi1I1+bi2I2+bi3I3+…+bijIijei101112“”..13MRAR1415161718194-120WW=(0.3181.9000.781)tW1=(0.1060.6330.261)tAW1a=(0.3201.9470.791)t?max=0.320/0.318+1.947/1.900+0.791/0.781=3.0390.01950.0340.1Matlab0.01950.0320.1B300bij21W1W1=(0.3370.3790.2000.084)T4.0490.0160.0180.122232425262720022005282930313233343536123456200198...200191011121314DEA2001111516171819202122232004372420022526...2008.7.22272829303132333435363738394041424344454647484950515238535455565758596061626364394041bijbijbij=1BiBjbij=3BiBj()bij=5BiBj()bij=7BiBj()bij=9BiBj()4243证券投资基金绩效评价体系的实证研究作者：张杰学位授予单位：山西财经大学本文链接：