基于投资策略的基金绩效评价——以价值、成长和平衡型基金为例

摘要/Abstract

摘要：

基金绩效评价一直是金融学的研究热点。本文选取了中国排名前十的基金管理公司名下的几只基金作为样本,详细地分析了基金招募说明书关于其投资策略和投资目标的描述,并基于此,首次应用复制基金投资策略的这一方法,创建新的投资组合、计算其投资收益,以此作为基金绩效评价基准,动态地评价了基金的投资绩效和投资行为。相对传统基金绩效评价的方法而言,本文使用的基金绩效评价方法能基于基金投资策略更客观地评价基金绩效,减少评价的偏差,并且揭示出基金经理的投资行为。结果显示,样本基金投资绩效比较低,其所声称的投资策略和投资目标并没有得以坚持。

关键词: 基金, 投资策略, 绩效评价

Abstract:

Fund performance evaluation is a hot topic in finance. We choose several funds from Chinese top 10 fund management companies as our sample. Based on the detailed analysis of their investing strategies and objectives, we reproduce their investing strategies. This is a new method, and we create our investment portfolio as fund performance evaluation benchmarks to evaluate fund performance dynamically and to judge profiles of fund managers as well. We find that the return of the funds is lower than our portfolio and the managers fail to fulfill the claimed strategies and objectives.

Key words: fund, investing strategies, performance evaluation

齐岳, 孙信明. 基于投资策略的基金绩效评价——以价值、成长和平衡型基金为例[J]. , 2016, 28(4): 155-165.

Qi Yue, Sun Xinming. Funds Performance Evaluation Based on the Investment Strategies[J]. , 2016, 28(4): 155-165.

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