我國(guó)證券投資基金績(jī)效與風(fēng)險(xiǎn)分析.pdf

1、復(fù)旦大學(xué)碩士學(xué)位論文我國(guó)證券投資基金績(jī)效與風(fēng)險(xiǎn)分析姓名：趙曉暉申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：企業(yè)管理指導(dǎo)教師：徐劍剛20030510復(fù)旦大學(xué)碩士學(xué)位論文我罔證券投資基金績(jī)效與風(fēng)險(xiǎn)分析AbstractThesecuritymarketinchinaisexperienceingagreattransformingprioedThereforeitisverynessesaryandurgenttosetupamodeloftheperforma

2、nceevaluationofthemutualfundsinawhichfundsisdevelopinginmumberandintypeAndnowthefundsislosingtheirvalueinthebullfinancialmarket、；l，ithseveralmutualfundsmanagerswerereplacedToevaluatetheperformanceofthemutualfunds，thispap

3、erfirstintroducedthetheoreticbasisonCAPMandactiveportfoliomanagementARerth虬severalcomparisonsamongcurrentclassicalevaluationmodelsofactiveoperatingabilityinwesterncountries，includingmonofactorcomprehensiveperformanceeval

4、uationmodel，multifactorperformanceevaluationmodeI，markettimingmodelandstockselectionmodel，porfoliodecompositionMethologyOn也ebasisofthestudiesmentionedaboveseveralmodelsoftheperformanceevaluationofthemutualfundsinchinaare

5、establishedandthenprovedinatraditionalwayThefundsdevelopingposturesandmechanismsisagivensituationoftransformingeconomyarestudiedbymeansofquantitativeresearchMajoreffortismadetoanalyzeriskadjns衄entoperatingabiHties，includ

6、ingmarketingtimingandsecuritiesseletionabilityandtostudythetotalactiveportfoliomanagementdistributionTheresultprovedthatthefundsmanagershavenotimingability，andtheirperformancedidn’tshowsomepersistenceAnotherquantitativer

7、eseachistoevaluatethereturndifferencebetweentheopenandcloseendmutualfundswitllFFthreefactormodelandtimingmodelThroughthereturnbasedanalysis，Ourresultprovedthatinbullmarket，therisldesssecuritiesatepreferredtOopenendmutual

8、fundsThequantitativeanalysisandresultdemonstratesthefactinchina’Sfundsmarketexactly，andismeaningforthefundsoperationandsupervisioninthelastchapterthepapergivesomeadviceonthedevelopmentofthemutualfundinchinaKeyword：RiskPe