我国开放式基金业绩评价研究
摘要
开放式基金作为一种新型的投资工具,已经被广大投资者所了解并开始接受,而且拥有广阔的发展空间。但同时我们也看到,同迅速发展的开放式基金市场相比,有关其业绩评价的研究在我国的发展却相对滞后。因此,通过构建一个符合国情的开放式基金业绩评价指标体系来评价其业绩表现,具有十分重要的理论和现实意义。
鉴于此,本文在理论研究与实证研究相结合的基础上,紧密结合中国证券市场发展的实际情况,构建了一个适合我国开放式基金特点的、较为全面、系统的业绩评价体系,并利用该体系进行了实证分析。
本文首先阐明了关于开放式基金的一般理论,接着着重介绍了目前国际上较为流行的几种证券投资基金业绩评估方法,并就其对我国开放式基金业绩评价的适用性进行了阐述;在文章的主体部分,首先指出了我国基金评价中的特殊问题并给出了本文的解决办法;然后结合中国证券市场的特点,在对现有指标改进的基础上,提出了新的评价指标,并通过实证研究证明了其优越性;最后,应用本文提出的新的评价指标体系对我国最早成立的15只开放式基金进行实证分析,得出我国开放式基金的业绩水平整体超过市场基准组合,但其运作有待进一步规范,这在一定程度为投资者的开放式基金投资指明了方向。
The open-end fund, as a new type of investment instruments, has been widely accepted by investors and proves itself to be very promising in the future. However, we notice that the researching development of the performance appraisal of domestic investment funds lags behind the fast growth of the open-end funds market, and the existing performance appraisal system is not very perfect. So by building an open-ended fund performance assessing index system according with the situation of our country to assessing its performance have a critical theoretic and realism significance.
Based on the aggregation of theoretical study and empirical study, as well as the present situation in China’s fund market, this paper builds up a comparatively comprehensive and systematic open-ended fund performance rating system in accordance with the fund industry in China, and according to the specialty of china security market and uses the real data of Chinese open-ended funds to carry on empirical analysis.
The paper firstly demonstrates the common theory of open-ended funds, and gives a brief analysis to the actuality of it in China. Then introduce several popular methods of how to estimate the achievement of security investment fund in the world, and analyze the feasibility of the assessment of mutual funds achievement in our country. In main body, the paper firstly analyses existing assessment system of open-ended funds in China and points fault, and combining the characteristic of china security market. Based on amelioration of existing indexes, the paper puts forward new index and proves its superiority by demonstration. Finally, appraise the investment performance of the first 15 open-ended funds in China by index system of the paper. Then educe that the performance of the open-ended funds in China exceeded the benchmark numerously, however its action need more criterion. This directs investment of open-ended funds for investors at a certain extent.
鉴于此,本文在理论研究与实证研究相结合的基础上,紧密结合中国证券市场发展的实际情况,构建了一个适合我国开放式基金特点的、较为全面、系统的业绩评价体系,并利用该体系进行了实证分析。
本文首先阐明了关于开放式基金的一般理论,接着着重介绍了目前国际上较为流行的几种证券投资基金业绩评估方法,并就其对我国开放式基金业绩评价的适用性进行了阐述;在文章的主体部分,首先指出了我国基金评价中的特殊问题并给出了本文的解决办法;然后结合中国证券市场的特点,在对现有指标改进的基础上,提出了新的评价指标,并通过实证研究证明了其优越性;最后,应用本文提出的新的评价指标体系对我国最早成立的15只开放式基金进行实证分析,得出我国开放式基金的业绩水平整体超过市场基准组合,但其运作有待进一步规范,这在一定程度为投资者的开放式基金投资指明了方向。
The open-end fund, as a new type of investment instruments, has been widely accepted by investors and proves itself to be very promising in the future. However, we notice that the researching development of the performance appraisal of domestic investment funds lags behind the fast growth of the open-end funds market, and the existing performance appraisal system is not very perfect. So by building an open-ended fund performance assessing index system according with the situation of our country to assessing its performance have a critical theoretic and realism significance.
Based on the aggregation of theoretical study and empirical study, as well as the present situation in China’s fund market, this paper builds up a comparatively comprehensive and systematic open-ended fund performance rating system in accordance with the fund industry in China, and according to the specialty of china security market and uses the real data of Chinese open-ended funds to carry on empirical analysis.
The paper firstly demonstrates the common theory of open-ended funds, and gives a brief analysis to the actuality of it in China. Then introduce several popular methods of how to estimate the achievement of security investment fund in the world, and analyze the feasibility of the assessment of mutual funds achievement in our country. In main body, the paper firstly analyses existing assessment system of open-ended funds in China and points fault, and combining the characteristic of china security market. Based on amelioration of existing indexes, the paper puts forward new index and proves its superiority by demonstration. Finally, appraise the investment performance of the first 15 open-ended funds in China by index system of the paper. Then educe that the performance of the open-ended funds in China exceeded the benchmark numerously, however its action need more criterion. This directs investment of open-ended funds for investors at a certain extent.
引文
1 中国证券业协会. 证券投资基金. 中国财政经济出版社, 2005: 2~3 15~17
2 R. Roll. Ambiguity When Performance is Measured by the Securities Market Line. Journal of Finance. 1978, 33(4): 1051~1069
3 Lehmann B, D. Modest. Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons. Journal of Finance 1987, 42(2): 233~265
4 Grinblatt, Mark, Sheridan Titman. A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques. Journal of Financial and Quantitative Analysis. 1994, 29(3): 419~444
5 Daniel, N. D. Do Specification Errors Affect Inferences on Portfolio Performance? Evidence from Monte Carlo Simulations. Working Paper. 2002: 159~175
6 Cowles A. Can Stock Market Forecasters Forecast. Economitrica. 1933, 1(3): 79~91
7 Cornell B. Asymmetric Information and Portfolio Performance Measurement. Journal of Financial Economics. 1979, 7(4): 381~390
8 Treynor J. How to Rate Management Investment Funds. Harvard Business Review. 1965: 63 ~75
9 Sharpe W. F. Mutual Fund Performance. Journal of Business. 1966, (1): 119~138
10 Jensen M. C. The Performance of Mutual Funds in the Period. Journal of Finance. 1968: 389~415
11 Elton, Edwin J, Martin J Gruber, Christopher R Blake. The Persistence of Risk-adjusted Mutual Fund Performance. Journal of Business. 1996, 69(2): 133~157
12 Brown. W. Goetzmann. "Performance Persistence". Journal of Finance, 1995, (50): 679~698
13 Carhart. M. Persistence in Mutual Fund Performance. Journal of Finance. 1997: 57~82
14 Grinblatt, Mark, Sheridan Titman. The Persistence of Putual FundPerformance. Journal of Finance. 1992, 47(2): 1977~1984
15 Treynor Jack, Mazuy K. Can Mutual Funds Outguess the Market. Harvard Businvess Review. 1966, (44): 131~136
16 Henriksson R D, Merton R C. On Market Timing and Investment Performance. Statistical Procedures for Evaluation Forecasting Skills. Journal of Business. 1981, (54): 513~533
17 张婷, 李凯. 证券投资基金投资绩效分析. 预测. 2000, (1): 41~44
18 王聪. 证券投资基金绩效评估模型分析. 经济研究. 2001, (3): 31~38
19 沈维涛, 黄兴孪. 我国证券投资基金业绩的实证研究与评价. 经济研究. 2001, (9): 22~30
20 刘红忠. 证券投资基金绩效评估与风险度量的实证分析. 上证联合研究计划. 2001: 16~28
21 张新, 杜书明. 中国证券投资基金能否战胜市场?. 金融研究. 2002, (1): 1~21
22 胡畏, 聂曙光, 张明. 中国证券投资基金业绩的中短期持续性. 系统工程. 2004, (4): 44~48
23 苏美红, 叶世绮. 开放式基金绩效评价新探. 经济论坛. 2004, (23): 102~104
24 陈刚, 李光金. 证券投资基金相对投资绩效评价. 四川大学学报. 2001, (2): 32~37
25 王霞. 证券投资基金评价研究. 深圳证券交易所研究报告. 2001, (10): 25~29
26 戴国强, 张永. 投资基金. 上海译文出版社. 2003: 8~10
27 王彦国. 投资基金论. 北京大学出版社. 2002: 12~14
28 刘力, 俞伟峰. 证券投资学. 清华大学出版社, 2003: 29~33
29 Jay Wellman. Corporate Governance and Mutual Fund Performance: A first Look at the Morningstar Stewardship Grades. Working Paper Series. 2005: 81~95
30 Fama E., K. French. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33. 1993: 3~56
31 张兆国, 康自强, 宁健武. 中国证券投资基金盈利能力持续性实证研究. 经济评论. 2004, (4): 108~112
32 Chang. Eric C, Wilbur G. Lewellen. Market Timing and Mutual FundPerformance. Journal of Business. 1984, (1): 86~105
33 Grinblatt, Mark, Sheridan Titman. Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns. Journal of Business 1993, 66(1): 47~68
34 Fama E, J. Macbeth. Risk, Feturn and Equilibrium: Empirical Tests. Journal of Political Economy. 1973, (81): 607~636
35 庄云志, 唐旭. 基金业绩持续性的实证研究. 金融研究. 2004, (5): 20~27
36 Alessandro Carretta, Gianluca Mattarocci. The Performance Evaluation of Hedge Funds: a Comparison of Different Approaches Using European Data. Working Paper Series. 2005: 125~128
37 杨扬, 卢家仪. 我国开放式基金业绩评价指标体系的构建. 煤炭经济研究. 2002, (6): 41~42
38 郭建军, 刘洁净. 收益率指标对绩效评估的可靠性. 统计与决策. 2003, (2): 10~24
39 陈彦玲, 胡丽霞. 我国开放式基金绩效评价的实证研究. 经济与管理研究. 2003, (2): 61~63
40 李雪莲, 邓卫华. 关于我国开放式证券投资基金业绩的实证研究. 商业经济. 2005, (6): 88~90
41 潘金根. 关于建立我国证券投资基金评价体系的研究. 国际金融研究. 2003, (5): 43~47
42 S. Brown, W. Goetzmann. Performance Persistence. Journal of Finance. 1995, (50): 679~698
43 Bodie Zvi, Alex kane, Alan J.Marcus. Investments. Fifth Edition. McGraw-Hill Companies, 2002: 282~292
44 方军雄. 我国证券投资基金投资策略及绩效的实证研究. 经济科学. 2002, (4): 28~32
45 刘春彦, 陆美红. 投资基金业绩评价与市场效率研究. 辽宁工程技术大学学报. 2004, 23(6): 839~841
46 Modigliani Franco, Modigliani Leah. Risk-adjusted Performance. Journal of Portfolio Management. 1997, 23(2): 45~54
47 黄文娣. 基于 VaR 的开放式基金业绩评估法 RAROC. 惠州学院学报. 2005, 25(4): 15~19
48 Kane. A. Performance Evaluation of Market Timers: Theory and Evidence.Journal of Financial and Quantitative Analysis. 1988, 23(4): 425~435
2 R. Roll. Ambiguity When Performance is Measured by the Securities Market Line. Journal of Finance. 1978, 33(4): 1051~1069
3 Lehmann B, D. Modest. Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons. Journal of Finance 1987, 42(2): 233~265
4 Grinblatt, Mark, Sheridan Titman. A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques. Journal of Financial and Quantitative Analysis. 1994, 29(3): 419~444
5 Daniel, N. D. Do Specification Errors Affect Inferences on Portfolio Performance? Evidence from Monte Carlo Simulations. Working Paper. 2002: 159~175
6 Cowles A. Can Stock Market Forecasters Forecast. Economitrica. 1933, 1(3): 79~91
7 Cornell B. Asymmetric Information and Portfolio Performance Measurement. Journal of Financial Economics. 1979, 7(4): 381~390
8 Treynor J. How to Rate Management Investment Funds. Harvard Business Review. 1965: 63 ~75
9 Sharpe W. F. Mutual Fund Performance. Journal of Business. 1966, (1): 119~138
10 Jensen M. C. The Performance of Mutual Funds in the Period. Journal of Finance. 1968: 389~415
11 Elton, Edwin J, Martin J Gruber, Christopher R Blake. The Persistence of Risk-adjusted Mutual Fund Performance. Journal of Business. 1996, 69(2): 133~157
12 Brown. W. Goetzmann. "Performance Persistence". Journal of Finance, 1995, (50): 679~698
13 Carhart. M. Persistence in Mutual Fund Performance. Journal of Finance. 1997: 57~82
14 Grinblatt, Mark, Sheridan Titman. The Persistence of Putual FundPerformance. Journal of Finance. 1992, 47(2): 1977~1984
15 Treynor Jack, Mazuy K. Can Mutual Funds Outguess the Market. Harvard Businvess Review. 1966, (44): 131~136
16 Henriksson R D, Merton R C. On Market Timing and Investment Performance. Statistical Procedures for Evaluation Forecasting Skills. Journal of Business. 1981, (54): 513~533
17 张婷, 李凯. 证券投资基金投资绩效分析. 预测. 2000, (1): 41~44
18 王聪. 证券投资基金绩效评估模型分析. 经济研究. 2001, (3): 31~38
19 沈维涛, 黄兴孪. 我国证券投资基金业绩的实证研究与评价. 经济研究. 2001, (9): 22~30
20 刘红忠. 证券投资基金绩效评估与风险度量的实证分析. 上证联合研究计划. 2001: 16~28
21 张新, 杜书明. 中国证券投资基金能否战胜市场?. 金融研究. 2002, (1): 1~21
22 胡畏, 聂曙光, 张明. 中国证券投资基金业绩的中短期持续性. 系统工程. 2004, (4): 44~48
23 苏美红, 叶世绮. 开放式基金绩效评价新探. 经济论坛. 2004, (23): 102~104
24 陈刚, 李光金. 证券投资基金相对投资绩效评价. 四川大学学报. 2001, (2): 32~37
25 王霞. 证券投资基金评价研究. 深圳证券交易所研究报告. 2001, (10): 25~29
26 戴国强, 张永. 投资基金. 上海译文出版社. 2003: 8~10
27 王彦国. 投资基金论. 北京大学出版社. 2002: 12~14
28 刘力, 俞伟峰. 证券投资学. 清华大学出版社, 2003: 29~33
29 Jay Wellman. Corporate Governance and Mutual Fund Performance: A first Look at the Morningstar Stewardship Grades. Working Paper Series. 2005: 81~95
30 Fama E., K. French. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33. 1993: 3~56
31 张兆国, 康自强, 宁健武. 中国证券投资基金盈利能力持续性实证研究. 经济评论. 2004, (4): 108~112
32 Chang. Eric C, Wilbur G. Lewellen. Market Timing and Mutual FundPerformance. Journal of Business. 1984, (1): 86~105
33 Grinblatt, Mark, Sheridan Titman. Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns. Journal of Business 1993, 66(1): 47~68
34 Fama E, J. Macbeth. Risk, Feturn and Equilibrium: Empirical Tests. Journal of Political Economy. 1973, (81): 607~636
35 庄云志, 唐旭. 基金业绩持续性的实证研究. 金融研究. 2004, (5): 20~27
36 Alessandro Carretta, Gianluca Mattarocci. The Performance Evaluation of Hedge Funds: a Comparison of Different Approaches Using European Data. Working Paper Series. 2005: 125~128
37 杨扬, 卢家仪. 我国开放式基金业绩评价指标体系的构建. 煤炭经济研究. 2002, (6): 41~42
38 郭建军, 刘洁净. 收益率指标对绩效评估的可靠性. 统计与决策. 2003, (2): 10~24
39 陈彦玲, 胡丽霞. 我国开放式基金绩效评价的实证研究. 经济与管理研究. 2003, (2): 61~63
40 李雪莲, 邓卫华. 关于我国开放式证券投资基金业绩的实证研究. 商业经济. 2005, (6): 88~90
41 潘金根. 关于建立我国证券投资基金评价体系的研究. 国际金融研究. 2003, (5): 43~47
42 S. Brown, W. Goetzmann. Performance Persistence. Journal of Finance. 1995, (50): 679~698
43 Bodie Zvi, Alex kane, Alan J.Marcus. Investments. Fifth Edition. McGraw-Hill Companies, 2002: 282~292
44 方军雄. 我国证券投资基金投资策略及绩效的实证研究. 经济科学. 2002, (4): 28~32
45 刘春彦, 陆美红. 投资基金业绩评价与市场效率研究. 辽宁工程技术大学学报. 2004, 23(6): 839~841
46 Modigliani Franco, Modigliani Leah. Risk-adjusted Performance. Journal of Portfolio Management. 1997, 23(2): 45~54
47 黄文娣. 基于 VaR 的开放式基金业绩评估法 RAROC. 惠州学院学报. 2005, 25(4): 15~19
48 Kane. A. Performance Evaluation of Market Timers: Theory and Evidence.Journal of Financial and Quantitative Analysis. 1988, 23(4): 425~435