证券投资基金业绩评价研究述评

20021010:100026788(2002)1020128206,,(,200052):,L:;;:F830.91:AAReviewoftheResearchonSecurityFundsPerformanceEvaluationWUChong2feng,NISu2yun,WENGYi2cong(ManagementSchool,ShanghaiJiaotongUniversity,Shanghai200052,China)Abstract:Thecontentsofsecurityfundsperformanceevaluationarefirstlysummarized,andthenthebasicmodelusedintheperformanceevaluationispresented.Afterthat,thetheoreticaldevelopmentofperformancemeasurementisreviewed.Atlast,theshortcomingsofthesedifferentmodelsarepointedoutandthenewtrendinthisfieldisalsodiscussed.Keywords:securityfund;performanceevaluation;benchmark:2001209217:(70025303):(1962-),,,,,:;(1974-),,,,:;(1971-),,,,:1,,L,,,L2060(90),,L,,,,,L2:1),;2),;3),;4)L,L,;,,L(markettimingability)(securitiesselectionability)(portfoliodiversification)©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.LL3CAPMLJensen,(SharpeTreynor),LJensen,,,alphaLalpha,;alpha,;alpha,LJensen,[1-3]L,,,(Campbell,Mackinlay(1997))[4,5],L,1),,;2)Jensen,Treynor,MazuyMerton,Henriksson(1981)Jagannathan,Korajczyk(1986)T2MH2M[6-9]L,Jensen,,Daniel,Grinblatt,Titman,Wermers(DGTW)(1997)Wermers(2000),[10,11];3),GT(1993),DGTW(97)[10,12];4)CAPMbeta,Ferson,Schadt(1996)beta,CAPM[13,14];5),Indro(1999)[15]L44.1CAPM(:(PöE),BEöME,CFöP)[5,16,17],CAPM,,L,Lehmann,Modest(1987)APTFama,French(1992,1993,1996)Carhart(1997)LLehmann,Modest(1987)APT,,[18]L,,BEöMEEöPCFöP,,Fama,French(1993,1995,1996)CAPM,beta,(SMB)BöM(BöMBöMHML),[16,17,19,20]LCarhart(1995,1997)(PY1YR),Jegadeesh,French(1993),[21,22]L,,,L,L,,L,[23]L,,L4.2Roll(1978,1980),CAPMAPT92110©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,[3,4]L,Grinblatt,Titman(1993)(portfoliochangemeasurement),,[15]LDGTW(1997),GT(1993)BöM(momen2tumeffect),,GT,,GTL,DGTWNYSEAMEXNasdaqBöM125,,125[10,24,25]L,,,,L,GT,1),;2),,,L4.3Jensen,,L,1),;2);3),,betaL,Cochrane(1992),,Jagan2nathan,Wang(1996)[26],,Ferson,Schadt(1996),Sharpe(1964)CAPM,,betabeta[13,27]LChristopherson,Ferson,Glass2man(1998)alpha,alphaL,[14,28]L,L,,,alpha,L4.4CAPMAPT,,alphabetaL,beta,DGTW(1997)Wermers(2000)LDGTW(1997),,,[10]LWermers(2000)DGTW(1997),,,,(characteristicselectivity,CS)(characteristictiming,CT)(averagestyle,AS)L(CS)(CT)(AS)[11]L,,LBöM,,,CS(Datar,Naik,Radcliffe(1998))[29]L,,CSL4.5,L,,031200210©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,L,,,L,LChiang,Urban,Baldridge(1996)BP101NAV,[35]L,,LIndro,Jiang,Patuwo,Zhang(1999)[15],,NAV,GRG2NAVL,,L,,L,NAVNAV,,()()L,,L4.6,,,(stochasticdiscountfactor),L[28,36],:(SDF)m(:(E(Rpm)=1Nm,Rp),GMMSDF,Ku(ra,m)E(ram)-10(ra)LGMMSDFLGrinblatt,Titman(1994)(PPW)Chen,Knez(1996)Dahlquist,Soderlind(1999)JiaHe(1999)(MSE)LGT(1994)Chen,Knez(1996)SDF,PPW,,LChen,Knez(1996)SDFPPW,,[37,38]LMSE,SDF,,MSEPPW,,,[39]L,,,LSDF,,Hansen(1982)GMM,L,SDF,L,SDF[40]L5,,,L30,13110,Hendricks,Patel,Zeckhauser(1993)Jagaddesh,Titman(1993)Grinblatt,Titman(1992)Brown,Goetzmann(1995)[30-34]L,,L©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.L,L,Jensen,DGTW(1997)L,L,,,,L[41,42]L,,,[43-46]L,()[47]L,,L:[1]JensenMichael.Theperformanceofmutualfundsintheperiod1945-1964[J].JournalofFinance,1968,23(2):389-416.[2]MalkielBurtonG.Returnsfrominvestinginequitymutualfunds1971to1991[J].JournalofFinance,1995,50(2):549-572.[3]RollR.Ambiguitywhenperformanceismeasuredbythesecuritiesmarketline[J].JournalofFinance,1978,33(4):1051-1069.[4]RollR.Performanceevaluationandbenchmarkerrors(É)[J].JournalofPortfolioManagement,1980,6(4):5-12.[5]BanzRolfW.Therelationshipbetweenreturnandmarketvalueofcommonstocks[J].JournalofFinancialEco2nomics.1981,(9):3-18.[6]TreynorJack,MazuyK.Canmutualfundsoutguessthemarket[J].HarvardBusinessReview,1966,(44):131-36.[7]MertonRC.Onmarkettimingandinvestmentperformance.I.Anequilibriumtheoryofvalueformarketforecasts[J].JournalofBusiness,1981,54(3):363-406.[8]HenrikssonRD,MertonRC.Onmarkettimingandinvestmentperformance.Ê.Statisticalproceduresforevalua2tiongforecastingskills[J].JournalofBusiness,1981,54(4):513-533.[9]JagannathanR,KorajczykR.Assessingthemarkettimingperformanceofmanagedportfolios[J].JournalofBusi2ness,1986,(59):217-235.[10]DanielKent,MarkGrinblatt,SheridanTitman,RussWermers.Measuringmutualfundperformancewithcharac2teristic2basedbenchmarks[J].JournalofFinance,1997,52:1035-1058.[11]RussWermers.Mutualfundperformance:anempiricaldecompositionintostock2pickingtalent,style,transactioncosts,andexpenses[J].JournalofFinance,2000,55(4):1655-1703.[12]GrinblattMark,SheridanTitman.Performancemeasurementwithoutbenchmarks:anexaminationofmutualfundreturns[J].JournalofBusiness,1993,66(1):47-68.[13]FersonWayneE,RudiWSchadt.Measuringfundstrategyandperformanceinchangingeconomicconditions[J].JournalofFinance,1996,51(2):425-461.[14]ChristophersonJA,FersonWE,GlassmanAD.Conditioningmanageralphasoneconomicinformation:anotherlookatpersistenceofperformance[J].ReviewofFinancialStudies,1998,(11):111-142.[15]IndroDC,JiangCX,PatuwoBE,ZhangGP.Predictingmutualfundperformanceusingartificialneuralnet2works[J].Omega,1999,(27):373-380.[16]FamaEugeneF,FrenchG.Thecross2sectionofexpectedstockreturns[J].JournalofFinanc