作　　者： ; ;

机构地区： 复旦大学管理学院

出　　处： 《系统工程》 2007年第1期118-122,共5页

摘　　要： 主要利用中国开放式基金的历史数据考察基金收益率、总风险、系统风险、非系统风险和特雷诺指数五项基本指标,用Kendall协同系数法对各项指标在多个时间段排序关系的稳定性进行检验。结果表明,基金的三项风险指标在各时间段的排序都具有十分显著的稳定性,而收益率和特雷诺指数无显著的排序稳定性。分析显示,基金风险指标表现出“风格效应”,其排序关系可以从基金的风格得到合理解释。本文的研究成果有助于加深了解中国开放式基金市场的特征,可为基金业绩的评估与预测提供参考信息。 This paper mainly uses the historical data of open-end funds in China to investigate five basic indexes including return, funds＇ total risk, systematic risk, non-systematic risk and the Treynor index, using the method of Kendall＇s concordance coefficient to test the ranking stability of the five indexes in multi-periods. Our research results indicate that three risk measures of the funds have remarkable ranking stability over periods. However, the ranks of funds＇ returns and Treynor indexes don＇t have significant stability. Further analysis indicates that the funds＇ risk measures show ＂style effect＂, whose ranking can be reasonably explained by the style of the funds. The results in this paper can help us to understand the open-end fund market in our country more deeply and provide useful information for evaluating and forecasting the performances of open-end funds.

关 键 词： 非参数统计 排序稳定性 协同系数 开放式基金 风险 收益

领　　域： [经济管理]