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论文编号：	2594
作者编号：	2120082099
上传时间：	2010/6/12 12:57:41
中文题目：	基准组合的选择对我国开放式基金业绩评价影响的研究
英文题目：	Research on the Performance Evaluation of Open-end Funds under Different Benchmarks in China
指导老师：	余娟
中文关键字：	开放式基金;业绩评价;基准组合;指数
英文关键字：	Open-end Fund; Performance Evaluation; Benchmark; Index
中文摘要：	在资本市场上，开放式基金是其中的一种重要投资工具。近年来，我国开放式基金市场发展迅速，在数量、规模和品种上都得到了快速的增长。开放式基金业绩的评价也受到越来越多的关注。相关的研究发现，在使用常用的方法评价基金业绩时，不同基准组合的选择会影响业绩评价的结果。 本文主要探讨在对我国的开放式基金进行业绩评价时，基准组合的选择对评价结果的影响。 文章分为五个部分。绪论部分对研究的背景、目的、方法和框架进行阐述；文献综述部分对国内外有关基金业绩评价以及基准组合选择的相关研究进行了梳理综合；第三部分介绍了国内研究在评价基金业绩时常使用的基准指数组合，并对不同的基准指数进行了比较；第四部分是在不同的基准组合下，考察样本基金的业绩，比较分析评价结果的差异；最后一个部分提出本文的结论与不足，并对未来的进一步研究方向进行展望。 本文对选取的15只样本基金2005-2009年的日收益数据，在不同基准组合下的业绩表现进行了比较分析。 结果发现，直接将基金的投资收益率与基准组合的收益率进行对比时，不同的基准组合会导致对基金收益水平不同的评价；基准组合的选择对各评价指标的绝对值都存在一定程度的影响，而对相对排序的影响程度因指标的不同而存在差异；基准组合对基金业绩评价结果的影响程度与基准组合之间的相关性有关。 关键词：开放式基金；业绩评价；基准组合；指数
英文摘要：	Open-end fund is an important kind of investments in the capital market. In recent years, the open-end fund market in China has been developing rapidly in its amount, size and variety of the products. Therefore, the performance evaluation of open-end funds has got more and more attentions. Studies found that when using the common methods to evaluate funds’ performance, the result of evaluation will be affected by the different choices of benchmark portfolio. This paper studies on the impact of benchmark choices when evaluating the performance of open-ended funds in China. This paper includes five parts. In the first part, it introduces the background, purpose, method and frame of the paper; in the second part, it reviewed the literatures both about fund performance evaluation and benchmark choices; in the third part it presents benchmarks that are commonly used in the performance evaluation of China’s funds, and compares some benchmarks; in the fourth part, it makes a comparative analysis on the differences in the performance evaluation results which are based on different benchmarks; in the last part it proposes findings and shortcomings of this paper, and also the prospects of further research directions. In this paper, fifteen sample open-end funds are selected. And the study is to analyze their daily returns data from the year 2005 to 2009 and to evaluate and compare their performance. The findings are as follows. When the funds is simply compared with the benchmarks, different benchmarks will lead to different evaluations; the choice of benchmarks has an impact on the value of the evaluation index, however, it does not have an impact on the ranking of the funds’ performances definitely; the degree of the difference between performance evaluation results is related to the degree of correlation between the benchmarks. Key Words：Open-end Fund, Performance Evaluation, Benchmark, Index
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