中国证券投资基金最短评级周期的相关研究

北京邮电大学学报(社会科学版) ›› 2012, Vol. 14 ›› Issue (3): 79-85.

中国证券投资基金最短评级周期的相关研究

（1 北京邮电大学经济管理学院，北京100876；2 中国社会科学院世界经济与政治研究所，北京100732）

收稿日期:2012-03-04 出版日期:2012-06-30 发布日期:2023-03-27
基金资助:
北京邮电大学青年科研创新计划专项项目（2012RC1007）

Research on the Shortest Evaluation Cycle of China’s Securities Investment Fund

　(1 School of Economics and Management, Beijing University of Posts and Telecommunications,
Beijing 100876, China; 　2 Institute of World Economics and Politics, Chinese Academy of Social Sciences,
Beijing 100732, China)

Received:2012-03-04 Online:2012-06-30 Published:2023-03-27

摘要/Abstract

摘要：

证券投资基金净值排名是基金评级的重要参考指标，但是如果评级所依据的业绩数据时间过短对基金的长期发展极为不利，将会导致基金严重的短期行为。本文采用基金超越基准回报率的移动平均值与该基金的业绩基准作为评价基础，通过快速聚类方法对基金在进行业绩排名时所需的最短时间间隔进行了研究。研究结果显示，目前对中国证券投资基金净值排名至少需要6个月观察期。

关键词: 基金回报率, 排名, 最短周期

Abstract:

The net value ranking of securities investment fund is an important assessment for securities ranking However, the short time period of performance data on which the evaluation depend has a bad impact on the long-term development of funds This paper, taking moving average of exceeding benchmark return rate of fund and its performance benchmark as the evaluation foundation, makes researches on the shortest evaluation cycle of funds in performance ranking, through quick cluster analysis The results show that at least 6 months of performance data is needed to rank the net value of China’s securities investment funds

Key words: fund return rate, ranking, the shortest cycle

中图分类号:

F8325

陈磊, 黄薇. 中国证券投资基金最短评级周期的相关研究[J]. 北京邮电大学学报(社会科学版), 2012, 14(3): 79-85.

CHEN Lei, HUANG Wei. Research on the Shortest Evaluation Cycle of China’s Securities Investment Fund[J]. Journal of Beijing University of Posts and Telecommunications(Social Sciences Edition), 2012, 14(3): 79-85.

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