國內(nèi)證券投資基金業(yè)績評價實證研究.pdf

1、同濟大學碩士學位論文國內(nèi)證券投資基金業(yè)績評價實證研究姓名：李強申請學位級別：碩士專業(yè)：國際貿(mào)易學指導教師：陸寶群20021215～莖塞擅重AbstractInvestmentFund(orMutualFund)referstothefinancialintermediariesthatsellsharestOthepublicandinvesttheproceedsinadiversifiedportfolioofsecuritiesE

2、achsharesoldrepresentsaproportionateinterestintheportfolioofsecuritiesmanagedbytheinvestmentmanagerandthoseoverseenbythecustodian。FromthebirthofInvestmentFundinChina，marketparticipantsandresearchershavepaidmuchattention幻

3、thiskindoffinancialinstitution。Furthermore，investmentfundperformanceevaluationhaslongbeenatthecoreofinvestmentfundresearch。Thispaperanalyzed，employingempiricalmethods，theperformanceofcontemporaryinvestmentfundsinChinesem

4、arketOurmainmethodsinclude：(1)MeanVarianceevaluationofinvestmentfunds’returnandrisk(2)Traditional，alsowidelyacceptedriskadjustedevaluationindices(3)Thedecompositionmethodsofinvestmentfunds’returnintoStockSelectivityandTi

5、mingAbilityThispaper’SconclusionsaresummarizedasfollowsFirsttheinvestmentfundindustrydidnotsurpassthemarketi11returnbutindeeddiversifiedriskaSCanbeshowedbyasmallervarianceinreturn。Second，difierenttypesoffimdshavesho確aaqu

6、itedifferentreturnandriskcharacteristicswhichCanbeseenasanindicationthatinvestmentfundindustryhasbecomemorediversifiedandmatureThirdnoneofthedomesticinvestmentfundshasshownbothpositiveStockSelectivityandpositiveTimingAbi

7、lityOnlyaminorityoftheinvestmentfundshaveshownoneoftheabovetwoabilities，F(xiàn)ourth，differentriskadjustedindiceshavegotsimilarevaluationresults，t1atistosaytheYhaveastrongcorrelationwitlleachotherFinallyopen“endfundsseemtosecu