评价投资基金长期业绩的新模型——基于对传统模型的批判

A New Model to Evaluate the Long-Term Investment Performance of Investment Fund——Based on Criticism to Traditional Model

摘要: 本文研究国内开放式基金长期投资业绩的评价问题。我们指出了传统评价模型与指标在评价投资基金的长期业绩时存在着谬误与局限。为真实地反映基金机构的投资水平，我们设计了基于计量经济学虚拟变量回归模型的“胜负链统计法”。新方法去除了传统模型的局限性，能比较真实客观地评测基金相对于市场基准的长期运营业绩。文章最后利用新方法，对国内开放式基金的运营状况做了实际中肯的评价。

Abstract: This paper studies the evaluations of long-term investment performance of domestic open-end funds. We point out that the traditional evaluation model and index have some fallacies and limi- tations when evaluating the long-term investment performance of investment funds. To truly re- flect the investment level of a fund agency, we design a new method called “statistics of outcome chain”, based on the Dummy variable regression model. The new method eliminates the limita- tions of traditional model, and it can objectively evaluate the long-term investment performance of funds. Finally, using the new method, we give some fair evaluations to some domestic open-end funds.