| 开放基金业绩评价的实证研究 |
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| 引用本文： | 刘军. 开放基金业绩评价的实证研究[J]. 系统工程, 2005, 23(12): 30-34 |
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| 作者姓名： | 刘军 |
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| 作者单位： | 西安交通大学,经济与金融学院,陕西,西安,710049 |
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| 摘 要： | 以经典单因素模型，利用日数据，对我国续存期超过两年的17只开放基金的收益和风险水平，分2003、2004两个年度进行了评价。主要结论是：基金业绩与市场状况密切相关．在市场不断下滑的情况下,基金虽然能够跑赢指数，但部分没有超过银行存款利率，为了应付赎回压力，基金经理采取更为进取的投资策略．导致风险水平偏高。
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| 关 键 词： | 开放基金 收益水平 风险水平 赎回压力 |
| 文章编号： | 1001-4098（2005）12-0030-05 |
| 收稿时间： | 2005-09-11 |
| 修稿时间： | 2005-09-11 |
An Empirical Study on the Performance Evaluation of the Open-end Funds |
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| LIU Jun. An Empirical Study on the Performance Evaluation of the Open-end Funds[J]. Systems Engineering, 2005, 23(12): 30-34 |
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| Authors: | LIU Jun |
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| Abstract: | With the classical unifactor model and the daily data,this paper evaluates the income and risk of seventeen open-end funds with more-than-two-year-rollover in 2003 and 2004 in our country.The main conclusion: fund(achievements) were closely related to market condition.Under the condition of market declining,these funds could(outperform) indices,but some couldn't surpass the banks' deposit interest rate.In order to cope with the pressure of redemption,funds(managers) tended to adopt more aggressive investment strtegy,and as a result,risk level was on the high side. |
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| Keywords: | Open-end Fund Income Level Risk Level Redemption Pressure |
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