基于主成分分析法和熵值法的我国指数基金综合评价
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摘要
指数基金是20世纪70年代产生并逐渐发展起来的一种新的投资基金和金融衍生工具,具有规避投资风险、投资费用低廉等优点,指数基金的迅速成长也充分说明了其具有突出的优点。
在我国,指数基金起步较晚,正处于发展的初级阶段。但随着我国证券市场不断规范,指数基金越来越受到投资者的关注,并且我国在近几年发展指数基金中进行了大胆的尝试,例如引进了新型的指数基金交易所交易基金(ETF),并取得了较大成功。
本文通过对国内外基金评价方法的研究,并结合指数基金自身的特点,建立了对我国指数基金综合评价的指标体系,主要从指数基金跟踪基准指数能力、指数基金收益能力、指数基金风险控制能力、基金经理投资管理能力和指数基金费用五个方面建立指标,对五个二级指标进行细分得到22个三级指标。利用主成分分析法和熵值法相结合的评价方法,对稳定期和波动期的样本指数基金的各类指标和综合水平进行了评价,通过实证分析,最终得到了样本指数基金在稳定期间和波动期间的各类指标能力排名和综合排名状况。
Indexfunds is a new kind of investment funds and finance deriveative tools.It came into being and developed graduatly in 1970's. The indexfunds have the adventages as follow:prevent investing risk, lower expenses on investment.Furthermore,the growing up rapidly of the indexfunds on the world stock market could embody all those merits fully.
In China,It is relatively late that the index fund enters the market and indexfunds is at primary stage of development.With the constant standardization of security market in our country,Investors pay more and more attention to the indexfunds.In addition,our country developed and carried on the bold attempt in the indexfunds in recent years.For example, being a new kind of indexfunds,Exchange-traded-Funds was introduced to China and have made greater success.
In this paper,through studing the domestic and international method of evaluateon of funds and combining the characteristic of the index fund,the author set up an indicator system to evaluate indexfunds.The indicator system is Set up from five respects as follow:ability of tracking the basic index,ability of obtaining incomes,ability of controlling the risk,investment and management ability of the fund manager and expense level of the indexfunds.There are five second indicators and 22 tertiary indicators.In this paper,I evaluate the sample indexfunds during stabilizing and fluctuating period with the toothed of Principal Component Analysis combines Entropy Method,and evaluate all second indicators and comprehensive levels of sample indexfunds.Finally, through the empirical analysis,we get the second indicators and comprehensive levels ranking of sample indexfunds during stabilizing and fluctuating period.
在我国,指数基金起步较晚,正处于发展的初级阶段。但随着我国证券市场不断规范,指数基金越来越受到投资者的关注,并且我国在近几年发展指数基金中进行了大胆的尝试,例如引进了新型的指数基金交易所交易基金(ETF),并取得了较大成功。
本文通过对国内外基金评价方法的研究,并结合指数基金自身的特点,建立了对我国指数基金综合评价的指标体系,主要从指数基金跟踪基准指数能力、指数基金收益能力、指数基金风险控制能力、基金经理投资管理能力和指数基金费用五个方面建立指标,对五个二级指标进行细分得到22个三级指标。利用主成分分析法和熵值法相结合的评价方法,对稳定期和波动期的样本指数基金的各类指标和综合水平进行了评价,通过实证分析,最终得到了样本指数基金在稳定期间和波动期间的各类指标能力排名和综合排名状况。
Indexfunds is a new kind of investment funds and finance deriveative tools.It came into being and developed graduatly in 1970's. The indexfunds have the adventages as follow:prevent investing risk, lower expenses on investment.Furthermore,the growing up rapidly of the indexfunds on the world stock market could embody all those merits fully.
In China,It is relatively late that the index fund enters the market and indexfunds is at primary stage of development.With the constant standardization of security market in our country,Investors pay more and more attention to the indexfunds.In addition,our country developed and carried on the bold attempt in the indexfunds in recent years.For example, being a new kind of indexfunds,Exchange-traded-Funds was introduced to China and have made greater success.
In this paper,through studing the domestic and international method of evaluateon of funds and combining the characteristic of the index fund,the author set up an indicator system to evaluate indexfunds.The indicator system is Set up from five respects as follow:ability of tracking the basic index,ability of obtaining incomes,ability of controlling the risk,investment and management ability of the fund manager and expense level of the indexfunds.There are five second indicators and 22 tertiary indicators.In this paper,I evaluate the sample indexfunds during stabilizing and fluctuating period with the toothed of Principal Component Analysis combines Entropy Method,and evaluate all second indicators and comprehensive levels of sample indexfunds.Finally, through the empirical analysis,we get the second indicators and comprehensive levels ranking of sample indexfunds during stabilizing and fluctuating period.
引文
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[16]黄勇.证券有资基金绩效评价方法及实证分析[J].经济师.2004.12期
[17]薛微.SPSS统计分析方法及应用[M].电子工业出版社.2004.9
[18]班耀波.我国证券投资基金业绩的实证研究[J].中南财经政法大学学报.2004.1期
[19]马骥寸旨数化投资[D].吉林大学博士论文.2004年
[20]刘丽,张礼兵,金菊良.基于遗传算法的组合评价模型[J].合肥工业大学学报.2004
[21]欧宏杰,赖朝隆,刘宗圣.ETFs投资实务与应用[M].中国经济出版社.2005
[22]王平心,杨冬花.给予熵值法的我国上市公司财务预警系统研究[M].商业研究.2005.15期
[23]吴日昇.主成分分析法与熵值法结合的上市公司财务综合评价模型.http://www.jjxj.com.2005.5
[24]陈绍胜.指数型基金跟踪误差的实证分析[J].当代经济学.2005.7
[25]孟爱兰.我国指数基金业绩评价体系研究[D].中国优秀博硕士论文数据库.2005
[26]康越,田欣民.指数化投资理论与实务[M].首都经济贸易大学出版社.2005.2
[27]曹晓刚,钟守楠.基于遗传算法的项目经理评价[J].运筹与管理.2005.8期
[28]王辉.上证50ETF的运作状况分析[J].华北电力大学学报(社会科学版).2006年第2期
[29]胡珍全,刘凯.LOF基金的绩效评价--传统方法与DEA方法的比较[J].理论探讨.2006.9
[30]陈彤.基金技校评价方法的发展[J].经济师.2006.11期
[31]陆媛媛,卢涛.我国证券投资基金业绩评价的实证研究[J].西南交通大学学报.2006.6
[32]汪璐.我国证券投资基金业绩实证分析与评价[J].知识经济.2006.4期
[33]杨飞虎.现代西方基余业绩评价理论述评[J].理论探讨.2006.5期
[34]刘 丹.我国开放式基金业绩综合评价的实证分析[J].南昌大学学报.2006.10
[35]胡志强,田盈.主成分分析法在公司综合评价中的应用[J].商场现代化.2007.7
[36]Treynor Jack.How to rate management of investment funds.Harvard Business Review.1965(1):63-75
[37]Sharpe,William F.Mutual fund performance.Journal of Business[J].1966,39(1):119-138
[38]Jensen Michael.The performance of mutual funds in the period 1945-1964[J].Journal of Finance.1968,23(2):389-416
[39]Markowitz,H.Portfolio selection.Journal of Finance[J].1952,7(1):77-91
[40]Treynor Jack,Black F.How to use security analysis to improve selection[J].Journal of Business.1973(46):66-86
[41]Franco Modigliani,Leah Modigliani.Risk-adjusted performance[J].Journal of Portfolio Management.1997:45-54
[42]Richard Heaney,Terry Hallahan,Thomas Josev and Heather Mitchell.Time Changing Alpha and Active Fund Performance Evaluation,Australian international funds[J].2006.2
[43] Robert F. Stambaugh. Evaluating and Investing in Equity Mutual Funds[R].2000
[44] Abby Stoddard, Dirk Salomons, Katherine Haver. Common Funds for Humanitarian Action in Sudan and the Democratic Republic of Congo: Monitoring and Evaluation Study[R] .2006.11
[45] Bruce N. Lehmann, David M. Modest. Mutual fund performance evaluation: a comparison of benchmarks and benchmark comparisons. Journal of Finance. 1987,42(2): 233-265
[46] Fama Eugene F, Kenneth R. French. Multifactor explanations of asset pricing anomalies. Journal of Finance. 1996(51): 5
[2]周晓华.证券投资基金市场时机选择能力研究[J].数量经济技术经济研究.2001.4期
[3]孔爱国,刘武.基金的市场时机选择检验-对基金管理人业绩的评价[J].复旦学报(社会科学版).2001.5期
[4]马永开,唐小我.投资基金业绩评价方法[J].数量经济技术经济研究.2002.1期
[5]蔡茂祥.证券投资基金的业绩评价及选择方法研究[J].证券.2002.10
[6]杨萍.试论证券投资基金业绩评价方法的局限及改进[J].技术经济.2003.4期
[7]马利军,伍建,程希骏.基于DEA方法的投资基金业绩评价[J].价值工程.2003.4期
[8]倪苏云,攀登,吴冲锋.基于遗传算法的基金绩效综合评价研究[J].系统工程.2003.3
[9]杨炘,王小征.中国证券投资基金业绩评价因素模型实证研究[J].系统工程理论与实践.2003.10期
[10]陈科燕,肖冬荣.基于遗传算法的最有证券投资组合模型[J].南京气象学院学报.2003.10
[11]韩泽县.,刘斌.基于数据包络分析(DEA)的封闭式基金相对业绩评价[J].金融管理.2003
[12]吴德胜,梁樑.遗传算法优化神经网络及信用评价研究[J].中国管理科学.2004.1期
[13]查理德.A.费里著,于研译.指数基金[M].上海财经大学出版社.2004.1
[14]胡天存,单耀文,陈靓.基金绩效的综合评价研究[J].决策参考.2004.12期
[15]徐泓,杨万贵,杨凡.中国证券投资基金业绩评价体系研究[J].经济学研究.2004
[16]黄勇.证券有资基金绩效评价方法及实证分析[J].经济师.2004.12期
[17]薛微.SPSS统计分析方法及应用[M].电子工业出版社.2004.9
[18]班耀波.我国证券投资基金业绩的实证研究[J].中南财经政法大学学报.2004.1期
[19]马骥寸旨数化投资[D].吉林大学博士论文.2004年
[20]刘丽,张礼兵,金菊良.基于遗传算法的组合评价模型[J].合肥工业大学学报.2004
[21]欧宏杰,赖朝隆,刘宗圣.ETFs投资实务与应用[M].中国经济出版社.2005
[22]王平心,杨冬花.给予熵值法的我国上市公司财务预警系统研究[M].商业研究.2005.15期
[23]吴日昇.主成分分析法与熵值法结合的上市公司财务综合评价模型.http://www.jjxj.com.2005.5
[24]陈绍胜.指数型基金跟踪误差的实证分析[J].当代经济学.2005.7
[25]孟爱兰.我国指数基金业绩评价体系研究[D].中国优秀博硕士论文数据库.2005
[26]康越,田欣民.指数化投资理论与实务[M].首都经济贸易大学出版社.2005.2
[27]曹晓刚,钟守楠.基于遗传算法的项目经理评价[J].运筹与管理.2005.8期
[28]王辉.上证50ETF的运作状况分析[J].华北电力大学学报(社会科学版).2006年第2期
[29]胡珍全,刘凯.LOF基金的绩效评价--传统方法与DEA方法的比较[J].理论探讨.2006.9
[30]陈彤.基金技校评价方法的发展[J].经济师.2006.11期
[31]陆媛媛,卢涛.我国证券投资基金业绩评价的实证研究[J].西南交通大学学报.2006.6
[32]汪璐.我国证券投资基金业绩实证分析与评价[J].知识经济.2006.4期
[33]杨飞虎.现代西方基余业绩评价理论述评[J].理论探讨.2006.5期
[34]刘 丹.我国开放式基金业绩综合评价的实证分析[J].南昌大学学报.2006.10
[35]胡志强,田盈.主成分分析法在公司综合评价中的应用[J].商场现代化.2007.7
[36]Treynor Jack.How to rate management of investment funds.Harvard Business Review.1965(1):63-75
[37]Sharpe,William F.Mutual fund performance.Journal of Business[J].1966,39(1):119-138
[38]Jensen Michael.The performance of mutual funds in the period 1945-1964[J].Journal of Finance.1968,23(2):389-416
[39]Markowitz,H.Portfolio selection.Journal of Finance[J].1952,7(1):77-91
[40]Treynor Jack,Black F.How to use security analysis to improve selection[J].Journal of Business.1973(46):66-86
[41]Franco Modigliani,Leah Modigliani.Risk-adjusted performance[J].Journal of Portfolio Management.1997:45-54
[42]Richard Heaney,Terry Hallahan,Thomas Josev and Heather Mitchell.Time Changing Alpha and Active Fund Performance Evaluation,Australian international funds[J].2006.2
[43] Robert F. Stambaugh. Evaluating and Investing in Equity Mutual Funds[R].2000
[44] Abby Stoddard, Dirk Salomons, Katherine Haver. Common Funds for Humanitarian Action in Sudan and the Democratic Republic of Congo: Monitoring and Evaluation Study[R] .2006.11
[45] Bruce N. Lehmann, David M. Modest. Mutual fund performance evaluation: a comparison of benchmarks and benchmark comparisons. Journal of Finance. 1987,42(2): 233-265
[46] Fama Eugene F, Kenneth R. French. Multifactor explanations of asset pricing anomalies. Journal of Finance. 1996(51): 5