摘要
以基金的平均周收益率、詹森指数、特雷诺指数、夏普指数以及基金的选股能力、择时能力、抗跌能力为基础研究了54只封闭式基金的业绩排名,发现平均周收益率高的基金经过风险调整后的回报率仍然很高,这说明能够在一定程度上控制风险的基金其业绩较佳;大多数平均周收益率高的基金其收益突出是因为其选股能力突出,而这些选股能力突出的基金中大部分的基金抗跌能力也很强;少数平均周收益率高的基金其收益突出是因为其择时能力突出,但这部分择时能力强的基金却未表现出强的抗跌能力。根据这些指标提出了基金的诊断式评级,以为投资者和监管机构提供更多的信息。
Based on the average weekly return of funds, Jensen index, Treynor index, Sharp index, portfolio selectivity ability, market timing ability and anti-drop ability, this paper has studied the performance rank of 54 closed-end funds and discovered that those funds with high average weekly return are still high with the risk-adjusted return, showing that the funds, able to control risks to some degree, have better performance, Most of the funds with high weekly return result from their excellent portfolio selectivity and have excellent anti-drop ability as well. A few funds with high weekly return benefit from their high market timing ability, but they fail to show excellent anti-drop ability. According to these indexes, a diagnostic grade is designed in order to provide more information for investors and regulators.
出处
《当代经济管理》
2008年第9期89-92,共4页
Contemporary Economic Management
关键词
证券投资基金
诊断式评级
选股能力
择时能力
抗跌能力
security investment fund
diagnostic grade
portfolio selectivity ability
market timing ability
anti-drop ability
