中国开放式基金业绩评价研究
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摘要
一、研究背景
随着基金业规模的不断扩大,各基金的投资理念和运作方式日趋稳定和个性化,陆续出现了平衡型、成长型、优化指数型、成长价值复合型等多个基金品种,基金管理公司投资理念初步成型,个性初步体现。同时,监管思路的调整使得各家基金公司更加注重公司治理结构的改善和投资风险的防范。近年来,作为机构投资者之一的开放式基金在我国获得了超常规的发展。开放式基金的推出,使得基金的运作模式有了根本的改变,以致注重基本面分析和风险控制的投资理念得到了广泛的认同。基金的个性化也更加突出,债券型、蓝筹型、收益型、平稳增长型、基础型等基金品种相继出现,为投资者提供了更多的选择,也因此对科学、客观的基金业绩评价方法提出了更为迫切的需求。
二、研究目的
基金业绩评价研究是促进基金业健康发展的重要环节。建立一套完备的基金业绩评价体系无论对投资者和基金管理公司,还是市场监管部门都具有非常重要的意义。对于投资者而言,通过分析基金的业绩,可以获得基金投资操作的准确信息,从而能及时调整投资策略,做出正确的投资选择,避免盲目跟从一些不实资讯而遭受损失;对于基金管理公司而言,建立科学的基金业绩评价体系,不仅可以对基金经理的努力程度和业绩水平给出具体的量化评价,还可以依此来分析所实施的投资计划是否达到或超过了投资目标,发现投资计划的不足,判断基金投资策略在市场中的适应能力,总结管理成功的经验,提高公司的经营管理水平;对于监管部门而言,则可以通过建立
Since the securities investment fund was first come up on March in 1998,it has six years development.Till February 2005,there have been 124 securities investment fund published.Even though the securities investment funds are developing fast,but the research about appraisal of the securities investment fund was only the first stage.Some scholars attempted to do this thing,and some Securities Company also have reports about evaluation of securities investment fund,but there are not any feasible、fair、authorities methods and standards to evaluate of securities fund,and even any reliable evaluation outcomes are never published.The published information is only net value to be often know,the information about assets, liabilities,operation ,portfolio can be known by annual reports and quarterly reports.Published information on funds is defect,all these things make the investors know little about the funds,and even feel it mysterious,the result is to hinder the development of the fund.However,in the foreign countries,the ordinary investors often use funds as the investment tools.The evaluation outcome of securities investment fund is published everyday for the investors.To the fund managers,they must scientifically appraise their performance periodically or non-periodically,through this way,they can make asset of funds stable increase at long term.In a word,the scientific funds evaluation is very important to both the investors and the managers.
With the innovation of financial technology, market and regime in each passing day and the decrease of production expense and opportunity cost, investment funds industry of high efficiency is developing rapidly. It has become the main force flourishing and
随着基金业规模的不断扩大,各基金的投资理念和运作方式日趋稳定和个性化,陆续出现了平衡型、成长型、优化指数型、成长价值复合型等多个基金品种,基金管理公司投资理念初步成型,个性初步体现。同时,监管思路的调整使得各家基金公司更加注重公司治理结构的改善和投资风险的防范。近年来,作为机构投资者之一的开放式基金在我国获得了超常规的发展。开放式基金的推出,使得基金的运作模式有了根本的改变,以致注重基本面分析和风险控制的投资理念得到了广泛的认同。基金的个性化也更加突出,债券型、蓝筹型、收益型、平稳增长型、基础型等基金品种相继出现,为投资者提供了更多的选择,也因此对科学、客观的基金业绩评价方法提出了更为迫切的需求。
二、研究目的
基金业绩评价研究是促进基金业健康发展的重要环节。建立一套完备的基金业绩评价体系无论对投资者和基金管理公司,还是市场监管部门都具有非常重要的意义。对于投资者而言,通过分析基金的业绩,可以获得基金投资操作的准确信息,从而能及时调整投资策略,做出正确的投资选择,避免盲目跟从一些不实资讯而遭受损失;对于基金管理公司而言,建立科学的基金业绩评价体系,不仅可以对基金经理的努力程度和业绩水平给出具体的量化评价,还可以依此来分析所实施的投资计划是否达到或超过了投资目标,发现投资计划的不足,判断基金投资策略在市场中的适应能力,总结管理成功的经验,提高公司的经营管理水平;对于监管部门而言,则可以通过建立
Since the securities investment fund was first come up on March in 1998,it has six years development.Till February 2005,there have been 124 securities investment fund published.Even though the securities investment funds are developing fast,but the research about appraisal of the securities investment fund was only the first stage.Some scholars attempted to do this thing,and some Securities Company also have reports about evaluation of securities investment fund,but there are not any feasible、fair、authorities methods and standards to evaluate of securities fund,and even any reliable evaluation outcomes are never published.The published information is only net value to be often know,the information about assets, liabilities,operation ,portfolio can be known by annual reports and quarterly reports.Published information on funds is defect,all these things make the investors know little about the funds,and even feel it mysterious,the result is to hinder the development of the fund.However,in the foreign countries,the ordinary investors often use funds as the investment tools.The evaluation outcome of securities investment fund is published everyday for the investors.To the fund managers,they must scientifically appraise their performance periodically or non-periodically,through this way,they can make asset of funds stable increase at long term.In a word,the scientific funds evaluation is very important to both the investors and the managers.
With the innovation of financial technology, market and regime in each passing day and the decrease of production expense and opportunity cost, investment funds industry of high efficiency is developing rapidly. It has become the main force flourishing and
引文
1 《开放式基金数据库》[Z],资料来源:wind 资迅,www.wind.net;
2 《开放式基金数据库》[Z],资料来源:wind 资迅,www.wind.net;
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13 Harry,Markowitz(1964),“Portfolio Selection”.Journal ofFinance,March 1952.
14 William Sharpe(1964),“Capital Asset Price:A Theory of Market Equilibrium”.Journal of Finance,September 1964.
15 John Lintner(1965),“The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”.Review of Economics and Statistics,February 1965.
16 Jan Mossin(1966),“Equilibrium in a Capital Assets Market”.Econometrica,October 1966.
17 所谓“均衡”是指所有价格调整过程都不会继续进行的一种状态。资本市场达到均衡时有如下特性:(1)证券的价格使得对每种证券的供给量和需求量相等;(2)无风险利率会调整到使市场对资金的借贷量相等;(3)市场组合,即切点投资组合,是由市场上所有证券组成的组合。在这个证券组合中,投资于每一证券上的比例等于其市值占整个市场价值的比例。
18 市场投资组合是一个重要的概念,它构成了资本市场理论与资本资产定价模型的基础。罗尔(Roll)对识别市场投资组合的可能性及对模型解释现实进行有效性检验的可能性,以及资本资产定价模型的原理在实践中的应用,都提出了疑问。
19 Sharpe,W.F.(1964),“Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk”.Journal of Finance,September 1964:425-442.
20 需特别强调的一点是,CAPM 模型是一个一般均衡模型,给出的是期望形式下的风险与收益关系。在事后关系中,有时我们会发现高贝塔值得证券的实际收益率会低于低贝塔证券的实际收益率,这并不能说明 CAPM 模型的无效性。CAPM 模型只是表明我们会期望高贝塔证券会获取较高的收益,并不说明高贝塔值的证券在任何时候都能获得比低贝塔值证券高的收益。如果真是这样的话,高贝塔值就成为风险较低的证券了。正因为高贝塔值的证券的风险较大,因此有时收益较低也就是一种正常现象。不过,长期而言,高贝塔证券会取得较高的平均收益,这才是“期望”关系的真谛。
21 Richard Roll(1977),“A Critique of the Asset Pricing Theory as Tests,PartⅠ:on Past and Potential Testability of the Theory”.Journal of Financial Economics,March 1977:129-176.
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23 Ross.S(1976),“Return,Risk and Arbitrage”.In I. Friend and J.Bicksler,eds.,Risk and Ruturn in Finance,Ballinger,Cambrige,1976.
24 用期望回报率和方差来处理未来事情时,通常的方法是用历史数据来估计期望回报率和方差,而实际结果可以与期望值不同。
25 CAPM 模型的主要假设条件有:1.投资者厌恶风险并追求效用最大化;2.投资者根据收益率的均值和方差来选择投资组合;3.所有投资者处于同一单期投资期;4.投资者可以以无风险利率无限制地进行借入和贷出;5.所有投资者对于证券回报率的均值、方差和协方差具有相同的期望值;6.市场完备,没有交易成本。
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31 在应用这两个指标时,尽管基金不是完全多样化,但只要是高度多样化时,当即使使用的比较标准不同时,基金在业绩排序中的相对位置仍然是不变的。
32 例如,如果基金的标准差是市场指数的 1.5 倍,可将 2 份的基金和 1 份的国债相混合,得到与市场指数的风险相同的混合资产。
33 此图假设基金不能跑赢大市,因此 CAL 的斜率小于 CML 的斜率。
34 江赛春:《天相投资分析报告(2002 年 11 月)》中曾应用此指标,天相投资顾问有限公司。
35 Stutzer(2000),“A Portfolio Performance Index”. Financial Analysts Journal,May/June 2000:57.
36 Stutzer(2000),“A Portfolio Performance Index”.Financial Analysts Journal,May/June,2000:56.
37 参见谷体峰:“美国晨星公司基金评级体系借鉴”[J],《证券市场导刊》,2002 年 7 月;杜书明:“走进美国基金评级机构”[N],《中国证券报》,2001 年 9 月 20 日。
38 Michael Stutzer(2000),“A Portfolio Performance Index”.Financial Analysts Journal,May/June 2000:56.
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43 Chang, E.C, Lewellen W.G(1984),“Market Timing and Mutual Fund Investment Performance,Journal of Business”.Journal of Business,January 1984:57-72.
44 生存偏差(Survivorship Bias)指由于基金投资组合中的股票发行停牌、摘牌、复牌等情况而对基金业绩评价产生的影响。
45 Martina K. Bers,Jeff Madura(2000),“The Performane Persistence of Closed-End Funds”.The Financial Review 35,2000:33-52.
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17 所谓“均衡”是指所有价格调整过程都不会继续进行的一种状态。资本市场达到均衡时有如下特性:(1)证券的价格使得对每种证券的供给量和需求量相等;(2)无风险利率会调整到使市场对资金的借贷量相等;(3)市场组合,即切点投资组合,是由市场上所有证券组成的组合。在这个证券组合中,投资于每一证券上的比例等于其市值占整个市场价值的比例。
18 市场投资组合是一个重要的概念,它构成了资本市场理论与资本资产定价模型的基础。罗尔(Roll)对识别市场投资组合的可能性及对模型解释现实进行有效性检验的可能性,以及资本资产定价模型的原理在实践中的应用,都提出了疑问。
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20 需特别强调的一点是,CAPM 模型是一个一般均衡模型,给出的是期望形式下的风险与收益关系。在事后关系中,有时我们会发现高贝塔值得证券的实际收益率会低于低贝塔证券的实际收益率,这并不能说明 CAPM 模型的无效性。CAPM 模型只是表明我们会期望高贝塔证券会获取较高的收益,并不说明高贝塔值的证券在任何时候都能获得比低贝塔值证券高的收益。如果真是这样的话,高贝塔值就成为风险较低的证券了。正因为高贝塔值的证券的风险较大,因此有时收益较低也就是一种正常现象。不过,长期而言,高贝塔证券会取得较高的平均收益,这才是“期望”关系的真谛。
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24 用期望回报率和方差来处理未来事情时,通常的方法是用历史数据来估计期望回报率和方差,而实际结果可以与期望值不同。
25 CAPM 模型的主要假设条件有:1.投资者厌恶风险并追求效用最大化;2.投资者根据收益率的均值和方差来选择投资组合;3.所有投资者处于同一单期投资期;4.投资者可以以无风险利率无限制地进行借入和贷出;5.所有投资者对于证券回报率的均值、方差和协方差具有相同的期望值;6.市场完备,没有交易成本。
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31 在应用这两个指标时,尽管基金不是完全多样化,但只要是高度多样化时,当即使使用的比较标准不同时,基金在业绩排序中的相对位置仍然是不变的。
32 例如,如果基金的标准差是市场指数的 1.5 倍,可将 2 份的基金和 1 份的国债相混合,得到与市场指数的风险相同的混合资产。
33 此图假设基金不能跑赢大市,因此 CAL 的斜率小于 CML 的斜率。
34 江赛春:《天相投资分析报告(2002 年 11 月)》中曾应用此指标,天相投资顾问有限公司。
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37 参见谷体峰:“美国晨星公司基金评级体系借鉴”[J],《证券市场导刊》,2002 年 7 月;杜书明:“走进美国基金评级机构”[N],《中国证券报》,2001 年 9 月 20 日。
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44 生存偏差(Survivorship Bias)指由于基金投资组合中的股票发行停牌、摘牌、复牌等情况而对基金业绩评价产生的影响。
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