论文 《证券投资基金绩效评价研究》

南开大学滨海学院

本科生毕业论文（设计）

中文题目：证券投资基金绩效评价研究

外文题目：Securities Investment Fund Performance Evaluation Research

学号：__ 08990678__ _

姓名：__ 赵青 ____

年级：__ 2008 级____

专业：数学与应用数学（金融数学与金融工程）

系别：__ 应用数学系_ _

指导教师：__ 陈典发_____

完成日期：__ 2012年4 月__

证券投资基金绩效评价研究

摘要

基金绩效衡量问题在整个基金问题的研究中具有基础性的地位,尽管在许多西方国家,尤其是在美国,已有理论和实证方面的大量研究,而目前我国在这方面的研究还处于起步阶段。一般而言,人们进行基金业绩评价的目的基本上可以概括为两个:一是对基金经理专业能力和投资水平进行评价;另一是为未来的投资提供参考信息。而两者都是以基金业绩具备持续性为前提的。基金业绩的持续性研究是基金绩效评价体合运用了多种方法开展基金绩效评价研究。系的一个重要组成部分,在一定程度上决定着进行基金业绩评价是否必要,是否有意义。虽然实证研究得出中国证券投资基金业绩总体不具备持续性,但也不排除个别基金具有较好的持续性。

本文在了解投资基金的基础知识和我国投资基金发展历程以及评价意义的情况下深入研究了证券投资基金绩效评价的理论基础及其方法，选取具有代表性的基金运用夏普比率对其进行分析计算，进而得知投资回报与多冒风险的比例，这个比例越高，投资组合越佳夏普比率是一个可以同时对收益与风险加以综合考虑的三大经典指标之一。

关键词：证券投资基金；绩效评价；流动性风险；综合评价；评价体系；

Securities Investment Fund Performance Evaluation

Research

Abstract

Evaluating fund performance is the base in the research on fund. Although people have made much study of theory and demonstration in many western countries, especially in U.S.A., the research on this problem is still elementary in China now. Generally speaking, there are two objectives on evaluating fund performance: evaluating specialty capability and investment level of fund manager, giving reference for investment in the future. The premise of both objectives is the durative of fund performance. The research on the durative of fund performance, which decides whether evaluating fund performance is necessary and significant to a certain extent, is an important part in the system of evaluating fund performance. Although the result of the demonstration research is that the whole securities investment fund in China does not have durative, some funds do have better durative.

Based on the understanding of the basic knowledge of investment fund and the development of investment fund in China history and evaluation of the significance of the case, in-depth study of the securities investment fund performance evaluation theory and method. Selecting representative fund, use the sharp ratio analysis of its calculation, and then learned that the investment return and risk ratio, this proportion is higher, investment portfolio is better. Sharp ratio is a can of benefits and risks to be considered one of the three classic indicators.

Keywords：Securities investment fund；performance evaluation；liquidity risk；

synthetic evaluation；evaluation system；

目录

一．投资基金概况 (1)

（一）投资基金基本知识 (1)

（二）中国基金业发展历程 (3)

（三）投资基金业绩评价的意义 (5)

二．证券投资基金绩效评价方法 (8)

（一）证券投资基金绩效评价的概念及理论基础 (6)

（二）证券投资基金绩效评价方法........ 错误!未定义书签。三．总结 .. (11)

参考文献 (11)

致谢 (12)