论文部分内容阅读
哈罗德·埃文斯基在其著作《财富管理》介绍了三个衡量基金的业绩表现的指标:夏普比率、特雷诺指数及阿尔法-詹森差额回报指标。本文针对夏普比率,理论部分分析了当资产收益率并不完全满足正态分布时,夏普比率可能带来的偏误,运用上海证券交易所主板开放式基金的数据,使用夏普比率评选出最优基金,结论为我国主板开放式基金市场存在夏普比率陷阱,直接运用夏普比率评选最优基金并不合适,夏普比率比较适合作为一个辅助指标,衡量基金的业绩还需要结合其他的方法。
In his book Wealth Management, Harold Evanski introduces three indicators that measure the fund’s performance: the Sharpe ratio, the Treynor index, and the Alpha-Jensen differential return indicator. In this paper, Sharpe ratio, the theoretical part of the analysis of asset returns when the rate of return is not fully meet the normal distribution, the Sharpe ratio may bring the error, the use of the Shanghai Stock Exchange, the main board open-end fund data, the use of Sharp ratio to select the best Fund, Conclusion As there is a Sharp ratio trap in China’s main board open-end fund market, it is not appropriate to directly use the Sharpe ratio to select the best fund. Sharpe ratio is more suitable as an auxiliary indicator to measure the performance of the fund. We also need to combine other methods.