| 基于多元统计分析的封闭式基金业绩评价 |
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| 引用本文： | 王连华,吕学梁,黄蕊.基于多元统计分析的封闭式基金业绩评价[J].价值工程,2004,23(7):72-75. |
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| 作者姓名： | 王连华 吕学梁 黄蕊 |
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| 作者单位： | [1]青岛大学经济学院，青岛266071 [2]青岛酒店管理职业技术学院财经系，青岛266100 |
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| 摘 要： | 本文引入在险价值(VaR)和基金折价率指标,利用因子分析和聚类分析方法对基金业绩进行综合评价。实证分析发现我国封闭式基金收益率优于市场收益率,少数几只基金业绩相对突出,实现低风险高收益的目标。但封闭式基金折价幅度较大,基金内部收益水平与外部评价状况背离,反映了市场投资者的投资非理性现象。
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| 关 键 词： | 因子分析 聚类分析 基金业绩 折价率 |
the Evaluation of Closed-end Fund Performance Based on Multivariate Statistical Analysis |
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| Abstract: | In this paper,Value at Risk(VaR)and the discount rate are introduced into this empirical analysis.Based on the factor analysis and the cluster analysis,we evaluate the fund performance comprehensively.The empirical result shows that c losed-end fund can beat the market in our country.A few funds perform well relat ively and get higher profit with lower risk.But the discount rate of closed-end fund is large.The deviation of interior performance and exterior evaluation refl eets the irrational behavior of investors. |
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| Keywords: | factor analysis cluster analysis fund performance the discount rate |
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