论文部分内容阅读
基金业绩评估一直是理论界和实务界研究和关注的重点。随着我国A股市场日渐复苏,可以预见股票型基金将再掀波澜,与之相应的基金业绩评估将再次成为投资者关注的焦点。与传统基金业绩评估方法不同,本文尝试以期权定价的思想评估基金业绩,假设购买的基金内含一份对该基金的看跌期权,以期权费反映基金风险,并引入交易成本因素,由此建立模型求得风险调整后收益率,从而对基金进行业绩评价。在实证检验部分,选取10只成熟的股票型基金,计算其风险调整收益率,并与传统方法进行对比,考察该方法的适用性,以为投资者选择基金时提供参考建议。
Fund performance evaluation has always been the focus of research and attention of theorists and practitioners. With the gradual recovery of China’s A-share market, it is foreseeable that equity funds will take waves and the corresponding fund performance evaluation will once again become the focus of investors’ attention. Different from traditional fund performance evaluation methods, this paper attempts to evaluate the performance of the fund by the idea of option pricing. Suppose that the purchased fund contains a put option for the fund, which reflects the risk of the fund with the option fee and introduces the transaction cost factor The model obtains the risk-adjusted return rate, so as to evaluate the performance of the fund. In the empirical test, 10 mature stock funds are selected to calculate the risk-adjusted rate of return. Compared with the traditional methods, this paper examines the applicability of this method to provide reference for investors to choose their funds.