投资者参与和证券投资基金风格业绩的评估

基金风格的形成是投资者参与并选择的结果。基金风格的差异体现出不同基金的设立是为了吸引特定的投资者群体。因此,评价基金业绩就必须从基金风格的供给与投资者风险管理的需求两个方面结合来进行。本文提出投资者参与和选择行为分析的视角,以投资者的风险管理需求的异质性为基础,从投资者身处的位置和衡量标准的不同所产生的异质性从而要求具有的不同目标收益率出发,通过构造连接风格分析与下侧风险指标的风险规避系数来研究基金的风格和投资者的风险管理需求,提出了一个新的基金业绩评估框架。

Investor Participation and Its Meaning for the Fund Rating

The Formation of fund style is the result of investors' participation and selection behavior. From this aspect, we must combine the supply of fund style and the demand of investors' risk management to rate fund. From the perspective of investors' participation and selection behavior, this article considers the difference of investors' demand of risk management, that is, investors' different target return according to investors' different measure criterion and different risk perception. This article studies fund style, investors' demand of risk management and the relationship between them through analyzing fund style, the index of downside risk and constructing the index of risk averseness that connects analysis of fund style and the downside risk index, thus, this article forms a new frame to rate funds.