沪深300指数基金绩效实证分析

摘要

对国内目前已上市的17家沪深300指数基金,根据市场的涨跌周期分为4个阶段,综合采用跟踪误差法、回归分析法、平均平方离差法、单因素绩效分析法,较全面、具体地考察了不同时期内所有指数基金的业绩表现,并分析了影响基金投资绩效的因素。结果表明,不同时期基金业绩表现体现出较大的差异,有一家基金在全部4个阶段表现出优异的业绩,但抗风险能力指标却并不突出。%According to the market ups and downs cycle,this paper divide the whole market into 4 stages,apply Tracking Error,Regression Analysis,Mean Squared Deviation and Single Factor Performance Analysis to survey the performance of the 17 CSI 300 index funds which have been on the market of China at different stages,analyze the factors affecting the performance of index funds.The result indicates that the performance of the different funds at different periods reflects great difference,some fund displays outstanding achievement in all 4 stages,but the anti-risk ability index is not prominent.