| 我国QDII基金业绩评价及影响因素实证分析 |
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| 引用本文： | 金辉,詹崇鹤,曹艳卡. 我国QDII基金业绩评价及影响因素实证分析[J]. 杭州电子科技大学学报, 2013, 0(6): 182-186 |
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| 作者姓名： | 金辉 詹崇鹤 曹艳卡 |
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| 作者单位： | 杭州电子科技大学经济学院,浙江杭州310018 |
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| 摘 要： | 利用特雷诺指数、夏普指数和詹森指数对我国16只股票型QDII基金2009-2012年的业绩进行了分析；同时，分别采用基金超额收益率、特雷诺指数和夏普指数作为因变量，利用多元回归模型，对影响QDII基金业绩的基金规模、区域集中度和行业集中度等因素进行了实证研究。结果表明，我国QDII基金难以获得超额收益；基金规模对QDII基金有正向影响，同时存在基金规模效应递减规律；区域集中度和行业集中度对基金业绩都有正向作用。
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| 关 键 词： | 合格境内机构投资者基金 基金业绩评价指标 业绩影响因素 规模报酬 |
The Evaluation of QDII Funds Performance and Empirical Analysis of the Affected Factors in China |
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| JIN Hui,ZHAN Chong-he,CAO Yan-ka. The Evaluation of QDII Funds Performance and Empirical Analysis of the Affected Factors in China[J]. Journal of Hangzhou Dianzi University, 2013, 0(6): 182-186 |
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| Authors: | JIN Hui ZHAN Chong-he CAO Yan-ka |
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| Affiliation: | (School of Economics, Hangzhou Dianzi University, Hangzhou Zhejiang 310018, China) |
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| Abstract: | Using Treynor index , Sharpe index and Jensen index , we analyzed the performance of 16 QDII funds in China from the year of 2009 to 2012; Meanwhile , using the multivariate regression models , we analyzed influencing factors of the fund performance , which including fund scale , regional concentration and industry concentration .The results show that QDII funds in our country are difficult to get excess profits;Fund scale, regional concentration and industry concentration have positive effects on QDII funds . |
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| Keywords: | qualified domestic institutional investors funds evaluation indexes of funds performance effected factors of funds performance return of scales |
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