我国非债券型开放式基金业绩研究
|
摘要
开放式基金作为基金运作的一种方式,不仅有着灵活的资产配置从而符合各种投资者的需求,而且由于采取申购和赎回的购买与出售方式,基金的价值主要以每日的净值加以核算,这样排除了在二级市场上交易受供求关系影响下导致的基金折价(溢价)的情况。基于以上特点,开放式基金的发展极为迅猛。过去的八年时间里,我国的开放式基金从无到有,走过了一条借鉴、尝试、稳定、创新之路。在开放式基金中,非债权型基金特别是偏股票型基金尤其受到投资者的喜爱。随着非债券型开放式基金的数量与基金自身规模不断的扩张,新的基金品种层出不穷,基金的主要配置也不仅仅局限于股票,金融期权、期货等衍生品逐渐被加入到资产组合里,基金的可能收益与风险被同时放大。另一方面,开放式基金的运作形式也变得更加丰富,如上市型开放式基金(LOF)、交易型开放式基金(ETF)、创新型基金等新的基金运作形式不断登上历史的舞台,并得到投资者的认可。这些都要求我国的基金管理人拥有更全面的资产管理技巧。众所周知,开放式基金的资产管理是一个动态的过程:基金管理人不断地把有增值潜力的资产放入资产组合中,并剔除那些不良配置资产。而对资产配置的筛选需要参考研究资产组合的业绩,然后对一段时期基金业绩的反馈作出投资组合决策。由于开放式基金的品种极多,而且目前国内还没有一套公认的权威的基金业绩评价体系,这无疑加大了基金管理者与投资者管理和决策的难度。
国外对基金业绩的研究已有将近60年的历史,Markowits、Sharpe、Treynor、Jensen等经济学家为基金的业绩评价做出了卓越的贡献,他们的方法也成为基金业绩评价传统理论体系的奠基。随着上个世纪70-90年代开放式基金的迅猛发展,基金业绩的研究方面好的方法、新的成果层出不穷。直到现在,以美国为代表的西方国家一直站在基金业绩研究的前沿,并不断推动着这一领域的理论和实践发展。在我国,基金的业绩研究起步较晚,这主要是因为我国资本市场相对还不够发达,推出基金产品较晚,特别是第一个开放式基金的创设至今也不过8年的时间。不过,在这较短的时期内,却涌现出了不少针对我国开放式基金业绩的研究成果,研究的趋势也偏向于两个方面:一方面,研究方法主要建立在国外比较成熟的研究方法上,利用我国资本市场的数据进行研究;另一方面,由于开放式基金建立相对较晚,对开放式基金的业绩研究明显少于封闭式基金的研究。但我国学者在已有的研究已经做出了一定的创新和贡献,研究方式也趋于多样化。
不幸的是,诸多的研究成果并没有帮助多数的基金管理人合理地规避风险。随着2007年美国次贷危机的爆发,引发了多米诺骨牌效应,伴随着银行信贷的紧缩与投资者信心的严重不足,2008年全球虚拟经济遭受了有史以来罕见的重创,各国的证券市场的资产市值也相应大幅缩水。以证券市场为主要投资对象的证券投资基金在这场浩劫中自然也难以独善其身,投资者的利益遭受了严重的损害。从我国来看,大多数开放式基金的资产净值都跌回了2年前的水平,2008年以后新创设的非债券型开放式基金的单位净值无一例外大幅跌破发行价。基金业绩的研究方法似乎对不可预测的高系统性风险无能为力。
事实上,基金业绩的研究主要分为两大部分:事前预测决策和事后反馈。前者主要集中于对基金资产组合中配置的资产对基金的业绩可能产生的影响进行分析。例如,金融衍生品的进入以及份额的变化可能对基金业绩产生什么影响?怎样规避基金风险?等等;后者则更加关注于对基金业绩的评估,并通过对评估结果进行分析找出资产配置决策中的失误来进行改进。在以前的研究中,基金业绩的评估即事后反馈往往更受到人们的关注,一旦危机爆发,投资者也就难免不受到巨大的损失。但基金主要风险的规避来源于对基金资产配置的选择即事前决策。因此,这两个部分的内容对于基金业绩的研究同样重要。
本文第一部分为引言部分。这一部分本文首先对国内外开放式基金的发展状况以及开放式基金业绩评价研究的发展状况作出了比较系统的总结和概述,然后比较系统的介绍了国内外关于基金业绩研究的成果与代表性的文献记载。这一部分同时归纳国内研究的不足,如基金样本选择不足、研究数据不足、研究对象不够细化等。最后介绍本文的内容安排。
第二部分,本文着重介绍非债券型开放式基金业绩评价的方法,系统的比较了开放式基金业绩的评价和检验方法及各种方法的优缺点,其中包括基金收益率衡量指标,这是最古老的基金业绩评价方法。随后,文章归纳了基金业绩评估的传统方法:夏普测度、特雷诺测度、詹森测度、信息比率等。对于基金的择时能力以及选股能力的评估方面(它们可以说是基金业绩评估的主流方法),其中的T-M、H-M模型不仅是国外学者研究的重点,也是我国文献中出现频率最高的评估方法,在此,本文也做出了详尽的介绍。最后,我们列举了两种基金业绩评估的新方法:DEA评价法与VAR评价法。
第三部分首先阐述开放式基金创新情况下对基金业绩影响的思考,这主要包括两个方面。第一,产品的资产配置更加多样化。如今的基金产品的资产组合里,不仅仅包含原有的股权、债券、现金等投资,而且随着金融衍生品的引入丰富了原有的资产类型,基金管理人可通过适度的管理方式控制资产的杠杆,以达到基金募集时投资人对基金类型的需要。交易杠杆的不同、资产配置的改变、投资风格的变化都会对基金业绩产生影响。第二,产品运作形式的丰富。为了克服开放式基金和封闭式基金的一些缺点,出现了运作形式创新。交易型开放式基金(Exchange Traded Funds, ETF)以及我国本土化的创新---上市开放式基金(Listed Open-ended Funds, LOF),都丰富了基金的投资品种,满足了投资者的投资偏好,同时又对基金的业绩造成了一定程度的影响。然后我们根据前面的对非债券型开放式基金业绩的研究,总结了我国非债券型基金发展的机遇与挑战,其中基金业的快速发展、基金产品的创新等值得我们对未来充满乐观,而我们基金管理水平良莠不齐、基金产品品种单一的现状也同样值得我们改进。最后我们根据现阶段存在的问题,提出我国需要确立公认科学的基金业绩评价体系,加强基金评估机构的规模与品牌优势。加强金融创新力度,为基金提供更多的可投资对象,引入做空机制。丰富基金的运作形式,不断推出新的基金品种,满足投资者的需求。加强基金的信息披露与投资者的教育等一系列的改进建议。
第四部分主要是对非债券型开放式基金业绩的实证研究:一、通过开放式基金业绩评估模型以及计量工具对我国具有代表性的非债券型开放式基金的业绩作实证研究;二、从数量方面着重分析研究有创新的基金与普通开放式非债券型基金的业绩比较,第三、四部分给出研究结论以及本文研究的一些创新点,这些创新点包括选择更大的样本、更合理的基准等方法,我们可以完善之前我国在这方面研究的缺失。当然样本的变化可能对研究结果的干扰也是本文研究的不足之处。
第五部分我们对全文的总结,包括本文的创新之处,如更大的样本、更科学的基准选择、更有针对性的研究对象以及对基金创新的研究;也包括本文研究的不足,如样本选择的缺陷等。
As one sort of fund operation method, open-ended funds(OEF) not only possess flexible asset allocation to satisfy the demand of investor, but also could exclude the value depletion(or premium price) of fund, which is caused by‘relationship of Demand and Supply’. Based on these feature we discussed above, the open-ended fund have been developing rapidly in last 8 years, and going through a studying, testing, steadying, innovating way. On the one hand, in all sorts of open-ended funds, non-bond funds (especially the stock funds) are most popular style accepted by investor. As quantity growing and scale expanding continuously, the asset portfolio of non-bond funds have been embodied more species of asset, such as financial option and financial futures. The fund returns and risks may be enlarged simultaneously. One the other hand, the run style of the OEF have been becoming plentiful, such as the creation of Listed Open-ended Funds (LOF), Exchange Traded Funds (ETF) and innovation funds (IF). Such situation we discussed above need our fund manager master a comprehensive skill of asset management. It is well known that the management of OEF is a dynamic process, we need to eliminate bad asset and change it into good asset in our portfolio, so we have to evaluate the performance of the OEF and feedback it again and again. Because of many kind of the OEF and there is no official, authoritative evaluation system of fund performance in our country, the investment decision of fund management and investor seem more difficult.
The oversea study history of fund performance has nearly 60 years. Markowits, Sharpe, Treynor, Jensen, etc, have made outstanding contributions in the field of fund performance evaluation. These evaluation methods they create have established foundation of traditional evaluation system. With the rapid development of fund in 1970s to 1990s, good, new evaluation methods emerge in endlessly. Until now, western countries always stand in the forefront of fund performance research, and constantly push the theory and practice of this field. In China, the fund performance study started lately, mainly because the Chinese capital market was not so developed. The release of fund product is later that Western, especially the first open-ended fund was only eight years. But in this short period, China has emerged fruitful research achievement and the research trend main have two aspects. On the one hand, the research method is mainly based on the mature methods of abroad, using the data of China's capital market. On the other hand, the research on OEF is apparently less than closed-end funds(CEF). But the Chinese scholars have made certain innovation and contribution in the existing research and the research method also tend diversification.
Unfortunately, so many researches didn't help most fund managers avoid risk with reasonable way. With the 2007 the U.S. subprime crisis causing the effect of dominoes:banks tightened up on their credits and investor s lose theirs confidence. In 2008, global virtual economy suffered a great crises we rarely seen, the value of securities market devaluate dramatically. The securities investment funds choosing securities as the main object of investment couldn't avoid this catastrophe, the benefit of investors suffered serious damage. From our perspective, most of the net assets of open-end funds are falling back to the level of 2 years ago, the value of non-bonds OEF fell sharply without exception. Research methods of fund performance seem helpless for high unpredictable systematic risk.
In fact, the researches of fund performance mainly divide into two parts: forecast and feedback. The former mainly focused on the how fund portfolio affect performance of it. For example, what effect does the financial derivatives entering and share changing for the fund performance? How to avoid fund risk? Etc. The latter is more focused on fund performance evaluation, and through the evaluation result analysis to find the mistakes of asset-allocation decisions to make improvements. In the previous study, the feedback is often given more attention, once the crisis breaks out investors have to face huge losses unavoidably. But the main risk evading lie on the asset allocation. Therefore, the two parts of the content of study for the fund performance is also important.
The first chapter of this paper is quotation. This paper firstly summarized development status of OEF and the research about the performance evaluation of OEF, and then compare representative domestic and abroad fund performance document with a systematic way. This part of the study concludes deficiency of domestic researches, such as insufficient funds, insufficient data, the object of study isn't refined, etc. Finally the paper introduces the content arrangement. The second part, this paper introduces the performance evaluation method of non-bonds open-ended funds ( NBOEF ) , and compares the advantages and disadvantages of the open-end fund performance evaluation and test methods systematically, including return rate, this is the measure of ancient fund performance evaluation method. Then, the paper summarizes traditional methods of the fund performance evaluation: Sharpe measure, Treynor measure, etc. We also introduce the model of T-M, H-M. They are of great importance both in China and aboard. Finally, we list two new methods of fund performance evaluation: DEA and VAR.
In the third part, we firstly introduce the influence of funds innovation for fund performance; the effect of performance mainly includes two aspects. First, the asset allocation of product seems more diversification. Nowadays, product of fund portfolio not contain only stock, bond, cash, but also financial derivatives. The return and risk of portfolios can be controlled by moderate leverage, in order to satisfy the demand of investors. The different leverage, asset allocation changing, the different style of investment would also affect performance. Second, the operation forms of products became abundant. In order to overcome shortcomings of the OEF and CEF, innovative operation forms have appeared. ETF and LOF have richen the investment varieties of fund and satisfied the demand of investors and also influent the fund performance in a certain extent. Then we summarize the opportunities and challenges of development of NBOEF, according to the front of our study. We need a optimistic attitude for the development and innovation of fund industry, but we also need to promote of management skill and rich our variety of fund. Finally, according to the existing problems, we gave some constructive advice, such as establishing a scientific performance evaluation system, strengthening the scale of institution of fund performances evaluation and brand advantages, Strengthening financial innovation, providing more fund to satisfy demand of investors, strengthening the information disclosure and investors education, etc.
The fourth part mainly focus on empirical research of the NBOEF performance: First, through the model of OEF performance evaluation and measurement tools, we give an empirical research for the performance of representative NBOEF. Second, we analyze the difference between innovation and ordinary NBOEF. The third and fourth part of this study, we list the research conclusions and gave some innovations; these innovations include the choice of more and more reasonable benchmark samples. Of course, sample changing may influencing result of research is also one of shortcomings in my paper.
The fifth part of our paper is summary, including some innovations of my paper, such as the larger sample, a more scientific benchmarks, more specific study object and research of innovation fund. We also point out the shortcomings in my paper, For example, the flaws of sample selection.
国外对基金业绩的研究已有将近60年的历史,Markowits、Sharpe、Treynor、Jensen等经济学家为基金的业绩评价做出了卓越的贡献,他们的方法也成为基金业绩评价传统理论体系的奠基。随着上个世纪70-90年代开放式基金的迅猛发展,基金业绩的研究方面好的方法、新的成果层出不穷。直到现在,以美国为代表的西方国家一直站在基金业绩研究的前沿,并不断推动着这一领域的理论和实践发展。在我国,基金的业绩研究起步较晚,这主要是因为我国资本市场相对还不够发达,推出基金产品较晚,特别是第一个开放式基金的创设至今也不过8年的时间。不过,在这较短的时期内,却涌现出了不少针对我国开放式基金业绩的研究成果,研究的趋势也偏向于两个方面:一方面,研究方法主要建立在国外比较成熟的研究方法上,利用我国资本市场的数据进行研究;另一方面,由于开放式基金建立相对较晚,对开放式基金的业绩研究明显少于封闭式基金的研究。但我国学者在已有的研究已经做出了一定的创新和贡献,研究方式也趋于多样化。
不幸的是,诸多的研究成果并没有帮助多数的基金管理人合理地规避风险。随着2007年美国次贷危机的爆发,引发了多米诺骨牌效应,伴随着银行信贷的紧缩与投资者信心的严重不足,2008年全球虚拟经济遭受了有史以来罕见的重创,各国的证券市场的资产市值也相应大幅缩水。以证券市场为主要投资对象的证券投资基金在这场浩劫中自然也难以独善其身,投资者的利益遭受了严重的损害。从我国来看,大多数开放式基金的资产净值都跌回了2年前的水平,2008年以后新创设的非债券型开放式基金的单位净值无一例外大幅跌破发行价。基金业绩的研究方法似乎对不可预测的高系统性风险无能为力。
事实上,基金业绩的研究主要分为两大部分:事前预测决策和事后反馈。前者主要集中于对基金资产组合中配置的资产对基金的业绩可能产生的影响进行分析。例如,金融衍生品的进入以及份额的变化可能对基金业绩产生什么影响?怎样规避基金风险?等等;后者则更加关注于对基金业绩的评估,并通过对评估结果进行分析找出资产配置决策中的失误来进行改进。在以前的研究中,基金业绩的评估即事后反馈往往更受到人们的关注,一旦危机爆发,投资者也就难免不受到巨大的损失。但基金主要风险的规避来源于对基金资产配置的选择即事前决策。因此,这两个部分的内容对于基金业绩的研究同样重要。
本文第一部分为引言部分。这一部分本文首先对国内外开放式基金的发展状况以及开放式基金业绩评价研究的发展状况作出了比较系统的总结和概述,然后比较系统的介绍了国内外关于基金业绩研究的成果与代表性的文献记载。这一部分同时归纳国内研究的不足,如基金样本选择不足、研究数据不足、研究对象不够细化等。最后介绍本文的内容安排。
第二部分,本文着重介绍非债券型开放式基金业绩评价的方法,系统的比较了开放式基金业绩的评价和检验方法及各种方法的优缺点,其中包括基金收益率衡量指标,这是最古老的基金业绩评价方法。随后,文章归纳了基金业绩评估的传统方法:夏普测度、特雷诺测度、詹森测度、信息比率等。对于基金的择时能力以及选股能力的评估方面(它们可以说是基金业绩评估的主流方法),其中的T-M、H-M模型不仅是国外学者研究的重点,也是我国文献中出现频率最高的评估方法,在此,本文也做出了详尽的介绍。最后,我们列举了两种基金业绩评估的新方法:DEA评价法与VAR评价法。
第三部分首先阐述开放式基金创新情况下对基金业绩影响的思考,这主要包括两个方面。第一,产品的资产配置更加多样化。如今的基金产品的资产组合里,不仅仅包含原有的股权、债券、现金等投资,而且随着金融衍生品的引入丰富了原有的资产类型,基金管理人可通过适度的管理方式控制资产的杠杆,以达到基金募集时投资人对基金类型的需要。交易杠杆的不同、资产配置的改变、投资风格的变化都会对基金业绩产生影响。第二,产品运作形式的丰富。为了克服开放式基金和封闭式基金的一些缺点,出现了运作形式创新。交易型开放式基金(Exchange Traded Funds, ETF)以及我国本土化的创新---上市开放式基金(Listed Open-ended Funds, LOF),都丰富了基金的投资品种,满足了投资者的投资偏好,同时又对基金的业绩造成了一定程度的影响。然后我们根据前面的对非债券型开放式基金业绩的研究,总结了我国非债券型基金发展的机遇与挑战,其中基金业的快速发展、基金产品的创新等值得我们对未来充满乐观,而我们基金管理水平良莠不齐、基金产品品种单一的现状也同样值得我们改进。最后我们根据现阶段存在的问题,提出我国需要确立公认科学的基金业绩评价体系,加强基金评估机构的规模与品牌优势。加强金融创新力度,为基金提供更多的可投资对象,引入做空机制。丰富基金的运作形式,不断推出新的基金品种,满足投资者的需求。加强基金的信息披露与投资者的教育等一系列的改进建议。
第四部分主要是对非债券型开放式基金业绩的实证研究:一、通过开放式基金业绩评估模型以及计量工具对我国具有代表性的非债券型开放式基金的业绩作实证研究;二、从数量方面着重分析研究有创新的基金与普通开放式非债券型基金的业绩比较,第三、四部分给出研究结论以及本文研究的一些创新点,这些创新点包括选择更大的样本、更合理的基准等方法,我们可以完善之前我国在这方面研究的缺失。当然样本的变化可能对研究结果的干扰也是本文研究的不足之处。
第五部分我们对全文的总结,包括本文的创新之处,如更大的样本、更科学的基准选择、更有针对性的研究对象以及对基金创新的研究;也包括本文研究的不足,如样本选择的缺陷等。
As one sort of fund operation method, open-ended funds(OEF) not only possess flexible asset allocation to satisfy the demand of investor, but also could exclude the value depletion(or premium price) of fund, which is caused by‘relationship of Demand and Supply’. Based on these feature we discussed above, the open-ended fund have been developing rapidly in last 8 years, and going through a studying, testing, steadying, innovating way. On the one hand, in all sorts of open-ended funds, non-bond funds (especially the stock funds) are most popular style accepted by investor. As quantity growing and scale expanding continuously, the asset portfolio of non-bond funds have been embodied more species of asset, such as financial option and financial futures. The fund returns and risks may be enlarged simultaneously. One the other hand, the run style of the OEF have been becoming plentiful, such as the creation of Listed Open-ended Funds (LOF), Exchange Traded Funds (ETF) and innovation funds (IF). Such situation we discussed above need our fund manager master a comprehensive skill of asset management. It is well known that the management of OEF is a dynamic process, we need to eliminate bad asset and change it into good asset in our portfolio, so we have to evaluate the performance of the OEF and feedback it again and again. Because of many kind of the OEF and there is no official, authoritative evaluation system of fund performance in our country, the investment decision of fund management and investor seem more difficult.
The oversea study history of fund performance has nearly 60 years. Markowits, Sharpe, Treynor, Jensen, etc, have made outstanding contributions in the field of fund performance evaluation. These evaluation methods they create have established foundation of traditional evaluation system. With the rapid development of fund in 1970s to 1990s, good, new evaluation methods emerge in endlessly. Until now, western countries always stand in the forefront of fund performance research, and constantly push the theory and practice of this field. In China, the fund performance study started lately, mainly because the Chinese capital market was not so developed. The release of fund product is later that Western, especially the first open-ended fund was only eight years. But in this short period, China has emerged fruitful research achievement and the research trend main have two aspects. On the one hand, the research method is mainly based on the mature methods of abroad, using the data of China's capital market. On the other hand, the research on OEF is apparently less than closed-end funds(CEF). But the Chinese scholars have made certain innovation and contribution in the existing research and the research method also tend diversification.
Unfortunately, so many researches didn't help most fund managers avoid risk with reasonable way. With the 2007 the U.S. subprime crisis causing the effect of dominoes:banks tightened up on their credits and investor s lose theirs confidence. In 2008, global virtual economy suffered a great crises we rarely seen, the value of securities market devaluate dramatically. The securities investment funds choosing securities as the main object of investment couldn't avoid this catastrophe, the benefit of investors suffered serious damage. From our perspective, most of the net assets of open-end funds are falling back to the level of 2 years ago, the value of non-bonds OEF fell sharply without exception. Research methods of fund performance seem helpless for high unpredictable systematic risk.
In fact, the researches of fund performance mainly divide into two parts: forecast and feedback. The former mainly focused on the how fund portfolio affect performance of it. For example, what effect does the financial derivatives entering and share changing for the fund performance? How to avoid fund risk? Etc. The latter is more focused on fund performance evaluation, and through the evaluation result analysis to find the mistakes of asset-allocation decisions to make improvements. In the previous study, the feedback is often given more attention, once the crisis breaks out investors have to face huge losses unavoidably. But the main risk evading lie on the asset allocation. Therefore, the two parts of the content of study for the fund performance is also important.
The first chapter of this paper is quotation. This paper firstly summarized development status of OEF and the research about the performance evaluation of OEF, and then compare representative domestic and abroad fund performance document with a systematic way. This part of the study concludes deficiency of domestic researches, such as insufficient funds, insufficient data, the object of study isn't refined, etc. Finally the paper introduces the content arrangement. The second part, this paper introduces the performance evaluation method of non-bonds open-ended funds ( NBOEF ) , and compares the advantages and disadvantages of the open-end fund performance evaluation and test methods systematically, including return rate, this is the measure of ancient fund performance evaluation method. Then, the paper summarizes traditional methods of the fund performance evaluation: Sharpe measure, Treynor measure, etc. We also introduce the model of T-M, H-M. They are of great importance both in China and aboard. Finally, we list two new methods of fund performance evaluation: DEA and VAR.
In the third part, we firstly introduce the influence of funds innovation for fund performance; the effect of performance mainly includes two aspects. First, the asset allocation of product seems more diversification. Nowadays, product of fund portfolio not contain only stock, bond, cash, but also financial derivatives. The return and risk of portfolios can be controlled by moderate leverage, in order to satisfy the demand of investors. The different leverage, asset allocation changing, the different style of investment would also affect performance. Second, the operation forms of products became abundant. In order to overcome shortcomings of the OEF and CEF, innovative operation forms have appeared. ETF and LOF have richen the investment varieties of fund and satisfied the demand of investors and also influent the fund performance in a certain extent. Then we summarize the opportunities and challenges of development of NBOEF, according to the front of our study. We need a optimistic attitude for the development and innovation of fund industry, but we also need to promote of management skill and rich our variety of fund. Finally, according to the existing problems, we gave some constructive advice, such as establishing a scientific performance evaluation system, strengthening the scale of institution of fund performances evaluation and brand advantages, Strengthening financial innovation, providing more fund to satisfy demand of investors, strengthening the information disclosure and investors education, etc.
The fourth part mainly focus on empirical research of the NBOEF performance: First, through the model of OEF performance evaluation and measurement tools, we give an empirical research for the performance of representative NBOEF. Second, we analyze the difference between innovation and ordinary NBOEF. The third and fourth part of this study, we list the research conclusions and gave some innovations; these innovations include the choice of more and more reasonable benchmark samples. Of course, sample changing may influencing result of research is also one of shortcomings in my paper.
The fifth part of our paper is summary, including some innovations of my paper, such as the larger sample, a more scientific benchmarks, more specific study object and research of innovation fund. We also point out the shortcomings in my paper, For example, the flaws of sample selection.
引文
[1]相关内容见《证券投资基金运作管理办法》第四章第29条,可查看网址http://finance.sina.com.cn/roll/20040701/0619843455.shtml
[2]相关数据来源参见http://fund.jrj.com.cn/fund/AllFundList.asp
[3]Harry, Markowittz,“Portfolio Selection,”Journal of Finance, March 1952.
[4]William F. Sharpe,“Mutual Fund Performance,”Journal of Business 39(January 1966)
[5]Jack L. Treynor,“How to Rate Management Investment Funds,”Harvard Business Review 43.63-75
[6]Michael C. Jensen,”The Performance of Mutual Funds in the period 1945-1964,”Journal of Finance, (May 1968)
[7]John R. Graham and Campbell R. Harvey,“Market Timing Ability and Volatility Implied in Investment Advisors‘Asset Allocation Recommendations,’National Bureau of Economic Research Working Paper 4890,(October 1994)
[8]Franco Modigliani and Leah Modigliani,“Risk-Adjusted Performance,”Journal of Portfolio Management,(Winter 1997)p45-54
[9]Fama, Eugene.”Components of Investment Performance,”Journal of Finance,XVII,No.3(June 1972),p.551-567
[10]Jack L. Treynor and Kay Mazuy,“Can Mutual Funds Outguess the Market?”Harvard Business Review 43(1966)
[11]Roy D. Henriksson and R.C. Merton,“On Market Timing and Investment Performance: Statistical procedures for evaluating forecasting skill.”Journal of Business,(1981),54(4)p513~533
[12]Goetzmann, William N.; Ingersoll Jr., Jonathan; Ivkovi?, Zoran. Monthly Measurement of Daily Timers Journal of Financial & Quantitative Analysis, (Sep2000), p257-290
[13]Ferson and Kgang.“Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds,”Journal of Financial Economics, 65(2002),p249-282
[14]Lehmann. Bruce N and Davis M. Modest.Mutual and performance:a comparision of benchmarks and benchmark comparisions.Journal of finance, 1987,42(2),p233~265
[15]Fama. Eugene and French. ,Kenenth“Multifactor Explanations of Asset Pricing Anomalies,”The Journal of Finance, 51(1996).p55-84
[16]William F. Sharpe,”Asset Allocation: Management Style and Performance Evalution,”Journal of Portfolio Management, (Winter 1992)p7-19
[17]Grinblatt M, Titman S.“The persistence of mutual fund performance”. Journal of Finance, (1992),(47):p1977~1984
[18]Goetzmann, William N., and Robert Ibbotson, "Do Winners Repeat? Patterns in Mutual Fund Behavior," Journal of Portfolio Management 20(2) (1994), p9-18
[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[J].经济研究.2001年09期
[20]晏艳阳、席红辉.我国封闭型基金与开放型基金业绩比较研究[J],《财贸经济》,2003年第12期:41-45页
[21]范宇,边馥萍.基于对策DEA的投资基金业绩评估[J].管理科学学报,2005年03期
[22]肖奎喜,杨义群.我国开放式基金的证券选择和市场时机把握能力研究[J].中央财经大学学报,2005年11期.
[23]郭智,杨春鹏.利用时变模型评价基金的证券选择能力和时机选择能力[J].统计与决策,2005年06期.
[24]杜金岷,廖仁英.我国开放式基金业绩评价的实证分析[J].学术研究,2006年06期
[25]徐翠萍,史清华,石正华.基于VaR的基金业绩评价模型构建及有效性检验.统计与决策, 2007年01期
[26]Charnes; Cooper and Rhodes E.“Measuring the Efficiency of Decision.European Journal of Operational Research,(1978),(2)p429~444
[27]详细信息可查阅金融界网: http://www.jrj.com.cn/news/2006-10-18/000001713645.html以及http://stock.jrj.com.cn/news/2008-04-24/000003574372.html
[28]于树会.对我国系列基金发展业绩的实证分析[D].河北大学,2006年
[29]具体内容见《证券投资基金信息披露管理办法》全文,网址: http://finance.sina.com.cn/jjzj/20040611/0619807973.shtml
[30]具体内容可查阅http://finance.sina.com.cn/roll/20040701/0619843455.shtml
[31]数据来源中国人民银行http://www.pbc.gov.cn/
[32] Friend,Blume,Crockett.Mutual Funds and Other Institutional Investor(New York: McGraw Hill,1970b)
[1]Elton, E., Gruber, M., Comer, G, Li, K.,“Spiders: Where are the Bugs?”Journal of Business 2002,75(3):p453-472
[2]Gary Brinson, Brian Singer, and Gilbert Beebower,“Determinants of Portfolio Performance.”Financial Analysts Journal(1991)
[3]Goetzmann, William N., and Kumar, Alok.“Diversification Decisions of Individual Investors and Asset Price,”Yale University ICF Working Paper.(2003)
[4]Gruber, M. J. (1996)“Another puzzle: The growth in actively managed mutual funds”, Journal of Finance 51. p783-810.
[5]Lavinio, stefano .Hedge Fund Handbook. New York: McGraw-Hill Professional Book Group (1999)
[6]Patzel, Todd E.“How Expensive Is It to Insure Your U.S. Equity Portfolio?”Derivatives Quarterly 3 (Spring 1997):p81~83
[7]Siems,Thomas F.“Risk Management: Turning Volatility into Profitability.”Derivatives Quarterly 2 (1996):p22~31.
[8]“Special Study: Regulation Fair Disclosure Revisited" U.S. SEC' s Report, Dec.(2001)
[9]Spiegel, Matthew, Mamaysky, Harry, and Zhang, Hong.“Improved Forecasting of Mutual Fund Alpha and Betas,”Yale University Working Paper(2004)
[1]陈静,田怀姝,余雪红.投资基金道德风险控制[J].武汉金融,1998年9月
[2]沈若蔚,唐善领.试论我国证券投资基金的创新[J].上海金融学院学报,2003年02期
[3]肖奎喜,杨义群.我国开放式基金业绩持续性的实证检验[J].财贸研究,2005年02期
[4]李玉书.我国开放式基金信息披露制度及其优化[J].中央财经大学学报,2005年03期
[5]曾德明,周再望,刘颖.证券投资基金费用对基金绩效的影响研究[J].科技管理研究,2005年10月
[6]杨浩.沪深300股指期货套期保值效果实证分析[J].金融经济,2007年02期
[7]胡寅,盛靖芝.股票期权费用化与我国期权激励问题[J].金融经济,2007年04期
[8]徐洪才.股指期货推出后中国金融业面临的挑战及其对策[J].首都经济贸易大学学报,2008年01期
[9]徐学文.我国LOF基金规模与收益之间的实证研究[J].现代商贸工业,2008年01期
[10]何孝星著.中国证券投资基金发展论[M]清华大学出版社,2003年
[11]何孝星著.证券投资基金运行论[M]清华大学出版社,2003年
[12][美]加利.L.甘斯梯纽著.骆玉鼎等译交易所交易基金上海财经大学出版社2003年12月[美]斯图[13]亚特.A.麦克奎瑞著.金德环等译.对冲基金[M].上海财经大学出版社,2004年1月
[14]基思.卡思伯森,德克.尼奇著.张陶伟,彭永江译.金融工程——衍生品与风险管理[M]中国人民大学出版社2004年
[15][美]唐.M.钱斯著,郑磊译.衍生金融工具与风险管理[M]中信出版社2004年
[16]滋维.博迪,亚历克斯.凯恩,艾伦.J.马库斯著.朱宝宪,楼远,吴洪等译.投资学(原书第6版)机械工业出版社2005年7月
[17]中国证券业协会.中国证券业发展报告2006[M].中国财政经济出版社.
[18]中国证券业协会.证券投资基金[M]中国财政经济出版社2007年6月
[19][美]埃德温J.埃尔顿等著.余维彬译.现代投资组合理论与投资分析(原书第7版)机械工业出版社2008年1月
[20]邓鹏.我国股票期权会计问题研究[D].西南财经大学,2003年
[21]张建利.投资基金创新与我国基金业发展[D].江西财经大学,2003年
[22]黄兴斌.我国证券投资基金创新研究[D].华中科技大学,2004年
[23]刘志斌.开放式基金业绩评价实证研究[D].清华大学,2005年
[24]杨祚成.开放式基金业绩评价及实证分析[D].四川大学,2005年
[25]陈红霞.我国开放式基金业绩评价实证研究[D].东北财经大学,2006年
[26]丛日彬.基于DEA模型的中国开放式基金业绩评价研究[D].中南大学,2006年
[27]袁友玮.开放式基金规模与业绩表现的相关性研究及实证分析[D].上海交通大学,2007年
[28]李明.融资融券业务中客户授信的研究与实践[D].对外经济贸易大学,2007年
[29]孙占伟.开放式基金业绩评价—基于基金经理个人特性[D].郑州大学,2007年
[30]周佳敏.中国金融市场金融创新的路径选择[D].上海交通大学,2007年
[31]吕小娟.完全复制型ETF业绩评价研究[D].东华大学,2007年
[32]宋婷.我国股票期权制度的法律问题研究[D].天津工业大学,2007年
[2]相关数据来源参见http://fund.jrj.com.cn/fund/AllFundList.asp
[3]Harry, Markowittz,“Portfolio Selection,”Journal of Finance, March 1952.
[4]William F. Sharpe,“Mutual Fund Performance,”Journal of Business 39(January 1966)
[5]Jack L. Treynor,“How to Rate Management Investment Funds,”Harvard Business Review 43.63-75
[6]Michael C. Jensen,”The Performance of Mutual Funds in the period 1945-1964,”Journal of Finance, (May 1968)
[7]John R. Graham and Campbell R. Harvey,“Market Timing Ability and Volatility Implied in Investment Advisors‘Asset Allocation Recommendations,’National Bureau of Economic Research Working Paper 4890,(October 1994)
[8]Franco Modigliani and Leah Modigliani,“Risk-Adjusted Performance,”Journal of Portfolio Management,(Winter 1997)p45-54
[9]Fama, Eugene.”Components of Investment Performance,”Journal of Finance,XVII,No.3(June 1972),p.551-567
[10]Jack L. Treynor and Kay Mazuy,“Can Mutual Funds Outguess the Market?”Harvard Business Review 43(1966)
[11]Roy D. Henriksson and R.C. Merton,“On Market Timing and Investment Performance: Statistical procedures for evaluating forecasting skill.”Journal of Business,(1981),54(4)p513~533
[12]Goetzmann, William N.; Ingersoll Jr., Jonathan; Ivkovi?, Zoran. Monthly Measurement of Daily Timers Journal of Financial & Quantitative Analysis, (Sep2000), p257-290
[13]Ferson and Kgang.“Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds,”Journal of Financial Economics, 65(2002),p249-282
[14]Lehmann. Bruce N and Davis M. Modest.Mutual and performance:a comparision of benchmarks and benchmark comparisions.Journal of finance, 1987,42(2),p233~265
[15]Fama. Eugene and French. ,Kenenth“Multifactor Explanations of Asset Pricing Anomalies,”The Journal of Finance, 51(1996).p55-84
[16]William F. Sharpe,”Asset Allocation: Management Style and Performance Evalution,”Journal of Portfolio Management, (Winter 1992)p7-19
[17]Grinblatt M, Titman S.“The persistence of mutual fund performance”. Journal of Finance, (1992),(47):p1977~1984
[18]Goetzmann, William N., and Robert Ibbotson, "Do Winners Repeat? Patterns in Mutual Fund Behavior," Journal of Portfolio Management 20(2) (1994), p9-18
[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[J].经济研究.2001年09期
[20]晏艳阳、席红辉.我国封闭型基金与开放型基金业绩比较研究[J],《财贸经济》,2003年第12期:41-45页
[21]范宇,边馥萍.基于对策DEA的投资基金业绩评估[J].管理科学学报,2005年03期
[22]肖奎喜,杨义群.我国开放式基金的证券选择和市场时机把握能力研究[J].中央财经大学学报,2005年11期.
[23]郭智,杨春鹏.利用时变模型评价基金的证券选择能力和时机选择能力[J].统计与决策,2005年06期.
[24]杜金岷,廖仁英.我国开放式基金业绩评价的实证分析[J].学术研究,2006年06期
[25]徐翠萍,史清华,石正华.基于VaR的基金业绩评价模型构建及有效性检验.统计与决策, 2007年01期
[26]Charnes; Cooper and Rhodes E.“Measuring the Efficiency of Decision.European Journal of Operational Research,(1978),(2)p429~444
[27]详细信息可查阅金融界网: http://www.jrj.com.cn/news/2006-10-18/000001713645.html以及http://stock.jrj.com.cn/news/2008-04-24/000003574372.html
[28]于树会.对我国系列基金发展业绩的实证分析[D].河北大学,2006年
[29]具体内容见《证券投资基金信息披露管理办法》全文,网址: http://finance.sina.com.cn/jjzj/20040611/0619807973.shtml
[30]具体内容可查阅http://finance.sina.com.cn/roll/20040701/0619843455.shtml
[31]数据来源中国人民银行http://www.pbc.gov.cn/
[32] Friend,Blume,Crockett.Mutual Funds and Other Institutional Investor(New York: McGraw Hill,1970b)
[1]Elton, E., Gruber, M., Comer, G, Li, K.,“Spiders: Where are the Bugs?”Journal of Business 2002,75(3):p453-472
[2]Gary Brinson, Brian Singer, and Gilbert Beebower,“Determinants of Portfolio Performance.”Financial Analysts Journal(1991)
[3]Goetzmann, William N., and Kumar, Alok.“Diversification Decisions of Individual Investors and Asset Price,”Yale University ICF Working Paper.(2003)
[4]Gruber, M. J. (1996)“Another puzzle: The growth in actively managed mutual funds”, Journal of Finance 51. p783-810.
[5]Lavinio, stefano .Hedge Fund Handbook. New York: McGraw-Hill Professional Book Group (1999)
[6]Patzel, Todd E.“How Expensive Is It to Insure Your U.S. Equity Portfolio?”Derivatives Quarterly 3 (Spring 1997):p81~83
[7]Siems,Thomas F.“Risk Management: Turning Volatility into Profitability.”Derivatives Quarterly 2 (1996):p22~31.
[8]“Special Study: Regulation Fair Disclosure Revisited" U.S. SEC' s Report, Dec.(2001)
[9]Spiegel, Matthew, Mamaysky, Harry, and Zhang, Hong.“Improved Forecasting of Mutual Fund Alpha and Betas,”Yale University Working Paper(2004)
[1]陈静,田怀姝,余雪红.投资基金道德风险控制[J].武汉金融,1998年9月
[2]沈若蔚,唐善领.试论我国证券投资基金的创新[J].上海金融学院学报,2003年02期
[3]肖奎喜,杨义群.我国开放式基金业绩持续性的实证检验[J].财贸研究,2005年02期
[4]李玉书.我国开放式基金信息披露制度及其优化[J].中央财经大学学报,2005年03期
[5]曾德明,周再望,刘颖.证券投资基金费用对基金绩效的影响研究[J].科技管理研究,2005年10月
[6]杨浩.沪深300股指期货套期保值效果实证分析[J].金融经济,2007年02期
[7]胡寅,盛靖芝.股票期权费用化与我国期权激励问题[J].金融经济,2007年04期
[8]徐洪才.股指期货推出后中国金融业面临的挑战及其对策[J].首都经济贸易大学学报,2008年01期
[9]徐学文.我国LOF基金规模与收益之间的实证研究[J].现代商贸工业,2008年01期
[10]何孝星著.中国证券投资基金发展论[M]清华大学出版社,2003年
[11]何孝星著.证券投资基金运行论[M]清华大学出版社,2003年
[12][美]加利.L.甘斯梯纽著.骆玉鼎等译交易所交易基金上海财经大学出版社2003年12月[美]斯图[13]亚特.A.麦克奎瑞著.金德环等译.对冲基金[M].上海财经大学出版社,2004年1月
[14]基思.卡思伯森,德克.尼奇著.张陶伟,彭永江译.金融工程——衍生品与风险管理[M]中国人民大学出版社2004年
[15][美]唐.M.钱斯著,郑磊译.衍生金融工具与风险管理[M]中信出版社2004年
[16]滋维.博迪,亚历克斯.凯恩,艾伦.J.马库斯著.朱宝宪,楼远,吴洪等译.投资学(原书第6版)机械工业出版社2005年7月
[17]中国证券业协会.中国证券业发展报告2006[M].中国财政经济出版社.
[18]中国证券业协会.证券投资基金[M]中国财政经济出版社2007年6月
[19][美]埃德温J.埃尔顿等著.余维彬译.现代投资组合理论与投资分析(原书第7版)机械工业出版社2008年1月
[20]邓鹏.我国股票期权会计问题研究[D].西南财经大学,2003年
[21]张建利.投资基金创新与我国基金业发展[D].江西财经大学,2003年
[22]黄兴斌.我国证券投资基金创新研究[D].华中科技大学,2004年
[23]刘志斌.开放式基金业绩评价实证研究[D].清华大学,2005年
[24]杨祚成.开放式基金业绩评价及实证分析[D].四川大学,2005年
[25]陈红霞.我国开放式基金业绩评价实证研究[D].东北财经大学,2006年
[26]丛日彬.基于DEA模型的中国开放式基金业绩评价研究[D].中南大学,2006年
[27]袁友玮.开放式基金规模与业绩表现的相关性研究及实证分析[D].上海交通大学,2007年
[28]李明.融资融券业务中客户授信的研究与实践[D].对外经济贸易大学,2007年
[29]孙占伟.开放式基金业绩评价—基于基金经理个人特性[D].郑州大学,2007年
[30]周佳敏.中国金融市场金融创新的路径选择[D].上海交通大学,2007年
[31]吕小娟.完全复制型ETF业绩评价研究[D].东华大学,2007年
[32]宋婷.我国股票期权制度的法律问题研究[D].天津工业大学,2007年