投資組合績(jī)效評(píng)估與選取

投資組合績(jī)效評(píng)估與選取報(bào)告：林威辰投資組合績(jī)效評(píng)估與選取投資績(jī)效評(píng)估的意義四種積效評(píng)估指標(biāo)Sharpe指標(biāo)Treynor指標(biāo)Jensen指標(biāo)評(píng)估比例(Appraisalratio)投資績(jī)效評(píng)估比較不同投資組合或基金的績(jī)效表現(xiàn)，除了應(yīng)考慮其報(bào)酬率外，亦應(yīng)納入考慮其所隱藏的風(fēng)險(xiǎn)大小，進(jìn)而綜合評(píng)估其投資組合或基金的績(jī)效。衡量基金績(jī)效必須同時(shí)考量基金的實(shí)現(xiàn)報(bào)酬率與基金的風(fēng)險(xiǎn)程度，而基金的風(fēng)險(xiǎn)指標(biāo)有基金的Beta係數(shù)(系統(tǒng)性風(fēng)險(xiǎn))與基金報(bào)酬率的標(biāo)準(zhǔn)差(總風(fēng)險(xiǎn))兩種。Sharpe的績(jī)效指標(biāo)、Treynor的績(jī)效指標(biāo)和Jensen的績(jī)效指標(biāo)的設(shè)計(jì)，均建立在資本資產(chǎn)定價(jià)模式(CapitalAssetPricingModel，CAPM)上。S良h套a喘r威p消e機(jī)績(jī)卻效鬧指遼標(biāo)S孟h濤a秤r渾p跡e孩利創(chuàng)用夢(mèng)下能列鄙指壞標(biāo)敲，支評(píng)添估數(shù)基組金雙的脫績(jī)晶效尾：羊投以資你組飯合先P騎在殲?zāi)城握蛊诟搁g走的工平指均康報(bào)徑酬智率仇，破同晚期絮間寨無(wú)細(xì)風(fēng)睜險(xiǎn)黑資天產(chǎn)述的甚平駝均風(fēng)報(bào)洽酬要率真，導(dǎo)投屋資通組釣合兔P喪的貧報(bào)謊酬責(zé)率淡變?cè)惱菙?shù)宵。分伍子竟部治份鐮是頓衡右量給風(fēng)堂險(xiǎn)死貼與水鋼(傾R疲i狠s不k御P聞r不e臺(tái)m泥i我u管m敏)識(shí)。分瓦母甜部克份王是母衡染量碑投獲資象組娛合盈的狀總概風(fēng)餐險(xiǎn)升。S鼠h認(rèn)a慣r謙p咐e核績(jī)往效發(fā)指孝標(biāo)恢是厲衡表量句每校單英位灰風(fēng)哈險(xiǎn)那的推風(fēng)仆險(xiǎn)耍貼賢水府補(bǔ)煩償工額曲。S穴h謝a壩r禽p獵e童績(jī)蘇效望指坐標(biāo)盟(麻續(xù)珍)S刃h戶a抄r秘p貿(mào)e盲指創(chuàng)標(biāo)巴可似用丹以般評(píng)慕比怠基貝金鍛相駱對(duì)叨於挑大難盤(pán)章的剖投斥資共績(jī)邁效取。若鍛基膜金占的泛S橫h競(jìng)a送r萍p真指釣標(biāo)揪高削於為大棉盤(pán)訓(xùn)指仍數(shù)近的噴S赴h垮a散r繞p摘e宿指牛標(biāo)習(xí)，趙則侍可舊宣限稱史基怒金育經(jīng)璃理抱人躲擊掙敗洋大檢盤(pán)殊；擱反旨之蕉，屢則秩可艇宣怎稱爛基眾金困經(jīng)腿理鏈人蒜的鈴績(jī)答效牧較也市拘場(chǎng)吧為豪差歡。S喪h棟a倉(cāng)r鳳p篩e敘的獸績(jī)砌效妄指謝標(biāo)別，充就稈是鹽直培線隔的愁斜如率鍛值慢，嗚在典同汁一襪條趨直危線盈上跟的眨投忌資絡(luò)組鉛合慶，停其刮績(jī)架效糧不傷相譜上挑下?lián)?，損若芽任拼一虛投鉆資秀組型合港所駐在仿的紗直視線洗是盡落糖在果市斧場(chǎng)悶投畜資撞組榆合臂的蜂上灶方剖時(shí)丈，兼則纖該在投橫資欲組私合咳的鬼績(jī)難效而優(yōu)浸於躺市華場(chǎng)慕投考資兇組仆合此。S盡h惜a民r畝p限e枕績(jī)叢效肢指擁標(biāo)創(chuàng)(厚續(xù)問(wèn))統(tǒng)計(jì)量投資組合ABCD報(bào)酬率20.0%15.0%10.0%8.0%無(wú)風(fēng)險(xiǎn)報(bào)酬率4.0%4.0%4.0%4.0%風(fēng)險(xiǎn)貼水16.0%11.0%6.0%4.0%標(biāo)準(zhǔn)差15.0%10.0%8.0%4.0%Sharpe指標(biāo)1.071.100.751.00資盒料冶來(lái)堅(jiān)源鹽：陳謝宜劍重平彼，劣「斬財(cái)啄務(wù)段管崖理航新精觀箱念置與富本坑土別化晌(冒再塞版跟)酷」C崗A迫P帖M在殊市虹場(chǎng)匹均欠衡率中腸，棒投棗資細(xì)者傷只因能域獲厲取即承茂受系榴統(tǒng)潤(rùn)風(fēng)姿險(xiǎn)的宏報(bào)具償吧－范無(wú)損法醋被曲分怠散頑的逢風(fēng)輝險(xiǎn)排類洋型路。夏堡普埋談錢資杜本女資嚼產(chǎn)戀定愧價(jià)掙模泛式底(耳C醒A擦P千M王)資龍本贊資禁產(chǎn)漂定拉價(jià)麗模裹式暖(沉C捏A旬P凡M編)秧的直創(chuàng)蜓始趴人遲之喉一信比養(yǎng)爾飼．杠夏荷普梯，班在歇一央次攻與艙道測(cè)瓊妥資雪產(chǎn)拔經(jīng)陳理戶的廚採(cǎi)蛾訪倒中蔥說(shuō)此︰「廉但成基躬本納概劍念座還幕是肅一宋樣屋的毀：亦只賣是倒承傻擔(dān)粉風(fēng)致險(xiǎn)牧是參無(wú)咸法腥獲挖得賴報(bào)溉償湊的撞。啞否債則赴，疲你腔將示在益拉除斯學(xué)維放加探斯糊賺胖大鎮(zhèn)錢御。恩如丙果替風(fēng)瞞險(xiǎn)溉有鐮報(bào)年酬我，島它筆必點(diǎn)須負(fù)是饅特磚別薦的猶。棍一熱定怠有似一曠些辨經(jīng)浙濟(jì)盒理脾論潔在殖支紀(jì)撐牲它囑，頌否勤則覽這疾就憂是的個(gè)立瘋錘狂痰的暴世抵界凱。企對(duì)五於昂這愈個(gè)犁基仔本膝概機(jī)念溜，飾我橫的最想挨法息一詳直幣沒(méi)厭變紗」級(jí)。趟－維夏現(xiàn)普蹈(特1匙9補(bǔ)9各8平)C嶺A妙P挽M原(形續(xù)供)假顫設(shè)完謝全拐市蛋場(chǎng)完煌全虹競(jìng)搖爭(zhēng)騰－虜每雅位練投顫資環(huán)者仗都旦假愿設(shè)濤自覆己飼無(wú)貼法川影軋響修證輸券遵價(jià)園格沒(méi)揪有罷稅然款沒(méi)父有霜交兇易廣成鮮本全振部便資槐產(chǎn)糖公矩開(kāi)須交模易符、次完梯全苗可岸分吸割沒(méi)僚有馳放僑空飄交價(jià)易精的臣限哀制兩條樸件借隆款壁和添貸鄭款洽具也同迷樣離的嚼無(wú)炊風(fēng)休險(xiǎn)援比氣率完勒全舊相望同卷的醉投肢資矛者短芬視相娛同啞的銅持疼有筒期農(nóng)間常辜態(tài)你或?qū)幤教?hào)均心偏恰差嶄的閃效叔用預(yù)拒期佛同祝質(zhì)萄性C束A躬P俱M腐(工續(xù)恰)均饒衡隱市填場(chǎng)芽投騰資傅組獅合屢和滿效諒率先前魄緣R送i燒s悶k送a端v男e羊r至s吳i礦o鋪n效腔用飽函巾數(shù)掃U弟=截E墾(佩r開(kāi))霧-淺0潛.媽5夜*旬A妖*卸v循a激r倡(稠r扒)嶼.直.求其嗚中報(bào)A貢<椅0梳為瓣風(fēng)梯險(xiǎn)奧愛(ài)偷好昂者淡A醫(yī)=墳0聞為收風(fēng)室險(xiǎn)臉中隙立墊者炭A栽>叼0磨為摧風(fēng)型險(xiǎn)殘趨殘避強(qiáng)者A宮>然0花風(fēng)碌險(xiǎn)墊趨止避園者UU水0E痕(寧U倘)WU葵0祖>耐E嫂(泊U密)凝其勁中尖U投0近:隊(duì)不凝玩古公歌平鏈賭膚局鎮(zhèn)的摟效滋用E偵(郵U緞)難:劑玩動(dòng)公鉗平嘆賭誕局延的班效隔用A鏟=錫0社風(fēng)粗險(xiǎn)修中躲立宰者UWA吉<停0滴風(fēng)歡險(xiǎn)究愛(ài)眼好況者UW小謎結(jié)A淹>垮0淹為浸風(fēng)恥險(xiǎn)旨趨油避震者顆，坑為叫極拴大膚值穩(wěn)存浴在徑的劉狀會(huì)況負(fù)。A西=苗0昨?yàn)樵陲L(fēng)棚險(xiǎn)汁中貍立倒者投，碼圖落形炊為幟一樣條碑直碌線箏像稱右認(rèn)上場(chǎng)方夫延趁伸陸(縮慧假羞設(shè)己市緒場(chǎng)子投蔑資腦組領(lǐng)合垮期境望淘報(bào)銜酬說(shuō)率武大膠於煮r嗚f婦)燦。而巖A疫<棵0團(tuán)為工風(fēng)疊險(xiǎn)桂愛(ài)真好料者脾，貨僅隙存遮在拾極亦小滋值活，臂因揉為路圖路形蠻二會(huì)次局項(xiàng)交係雞數(shù)籌為冬負(fù)交的以劈燕上寧兩微種省狀帶況漏說(shuō)的明扔，種A肉=跟0濟(jì)不假存演在過(guò)極拼值袋(斯或愚可禍以適說(shuō)譯無(wú)傅限炎大吃)材，懂A甚<泛0東僅吊能愚極蒜小慣化模u腐t德i糠l由t厲i熟y風(fēng)再險(xiǎn)慨的呆市烤場(chǎng)蟻價(jià)袍格在壘經(jīng)親濟(jì)芽結(jié)轟構(gòu)演中仍有徹N聲個(gè)沒(méi)最歇佳音投頓資晨組測(cè)合烈的葬投冷資墾者西，蔥每祝個(gè)大有刊1道美常元悼。則京我競(jìng)們?cè)S可廣以抵定疊義沈總某財(cái)膚富硬恆貿(mào)等窗式風(fēng)晨險(xiǎn)也的啄市列場(chǎng)粥價(jià)缺格章(魔續(xù)惑)其販中剪，宇在濱市墊場(chǎng)握參完與秀者班中扶風(fēng)香險(xiǎn)堵規(guī)援避賠的啄總赴計(jì)兆量血為巖：表梢示緣瑞：(慘1勇)個(gè)中別欺風(fēng)衫險(xiǎn)則資煙產(chǎn)且的漁定研價(jià)市侮場(chǎng)范投托資羽組仔合乏由問(wèn)個(gè)桃別驕的鬧風(fēng)板險(xiǎn)英資仍產(chǎn)耍組航成洽：襖其歡中媽為奸總壘市指場(chǎng)物財(cái)頑富瞧投透資狹在寧第寫(xiě)i倡資州產(chǎn)糾的承部缺份濟(jì)。讓掩我勒們霜聚政焦揮在瘋一舞位穗具藏平蔬均紛風(fēng)雙險(xiǎn)兄規(guī)烈避罵的嘩代獸表鹿性央投竿資鋼者廢身筑上全：其陷投因資汪組暗合奧持活有筑為擺：(鋸2凈)(醫(yī)3肥)(晉4醋)個(gè)甚別真風(fēng)枝險(xiǎn)奸資礙產(chǎn)愈的幫定殖價(jià)惜(爸續(xù)六)在云均神衡詠市饒場(chǎng)嶄中駝，繩是巖這縣位齡投升資音者拉的還最承佳稍解調(diào)。封這緊表暑示撤：保創(chuàng)持津其與他宣項(xiàng)安固漁定釘，甘如槽果飲我此們惰稍位微廣改竟變脫一零下后，燈會(huì)輛變巷成腔什產(chǎn)麼屆？個(gè)復(fù)別微風(fēng)態(tài)險(xiǎn)忠資桂產(chǎn)粘的瓜定凍價(jià)咱(騎續(xù)談)整鄉(xiāng)豐理味後骨為由倉(cāng)(乎1姑)焰和嘆(分5暫)揪，險(xiǎn)我諒們算可易以毛推筋導(dǎo)錦出其騾中(倡5閃)(般6薄)(陵7哪)證熄券行市庫(kù)場(chǎng)綱線個(gè)痛別貸證炮券驚的囑期賺望劃報(bào)衫酬假憲定復(fù)以倉(cāng)G拔M拍的音股龜票裙為財(cái)例偵，螺我冠們盟要浴估考算創(chuàng)它憲的氣投莫資敬組頃合對(duì)風(fēng)即險(xiǎn)撒。所驚以牽我姓們收可閃以糊知唇道約G舍M餐對(duì)許變鉤異怠數(shù)煉的舅影物響刑=個(gè)背別風(fēng)證羽券缸的曬期爸望千報(bào)逼酬傻(華續(xù)本)為寬了仇更徹精圖準(zhǔn)盆證驢明忍，疲我肯們餐把承上沖式伙再晶套篩入爪，音因稅此峰G戶M漿和兆市聯(lián)場(chǎng)孤投道資贊組怪合錦報(bào)駛酬貞的蛾共君變淋異霜數(shù)轉(zhuǎn)是如發(fā)果搞現(xiàn)廣在億有拔一利個(gè)集投她資掛人驚百委分唯之翠百芹投搏資哪在棍市佛場(chǎng)少投貨資松組環(huán)合蘭，剝並宋假另設(shè)誤他吊將笑要挽小諸幅伯增亂加律他兼在席市針場(chǎng)道投扮資凍組申合把的搜部柿位欲，宜增鑰加蕉幅致度核為皺，研以投無(wú)蹤蝶風(fēng)黎險(xiǎn)蛙利謎率雨舉袋債極進(jìn)距行弱融橋資蓄。丘則遼新柏的赴投耽資投組材合醋是月三敢樣識(shí)資召產(chǎn)宮的旁結(jié)凳合愚：慮市柴場(chǎng)晝的屯原譜始級(jí)部幣位診，穿報(bào)強(qiáng)酬嗓為墻；孕求戴其撈期油望疲值璃，使並笑和囑原倉(cāng)先版的往期國(guó)望捧報(bào)怪酬磚作宰比絮較伶，邊新劑增裙的衰期加望地報(bào)姻酬榜率鋸會(huì)可是(襪8注)p舟f個(gè)族別睡證晌券尺的駁期舒望歇報(bào)仆酬宅(的續(xù)糧)為農(nóng)衡雀量礙投塑資蛋組搶合設(shè)變海動(dòng)擺對(duì)困風(fēng)炊險(xiǎn)蔥的遍影活響邊，秘我飾們紫要叛計(jì)刪算形一特個(gè)統(tǒng)新忠的方投羅資灰組友合稠變柏異倍數(shù)俗。然斯而證，摘如浮果旗非揭常孫小纏，謝則渾對(duì)倒於方而渡言刊，粉是駝可奏忽皆略畢的品。頭所奸以稅投逢資粒組食合喪變里異陸數(shù)叢增遭加斷了總襲結(jié)拘結(jié)溪果使，鎮(zhèn)則禮增織加滾的割風(fēng)泄險(xiǎn)郊貼低水醫(yī)和考增槍加濾的咳風(fēng)宅險(xiǎn)如兩虛者秩之鴉間痛的倘取扇捨淡關(guān)錄係巧，客即昌風(fēng)些險(xiǎn)銷的蒜邊杏際屈價(jià)畜格宏，扒可轎用壞以抹下娛的效比跨率度表朵示階：個(gè)算別趁證訪券死的莫期吳望做報(bào)句酬虜(尾續(xù)拖)現(xiàn)巴在址假耐設(shè)持投息資屑人厭欲沖另脖行忠增茫加抄G草M盾股頑票糾的睡投浮資辜，特同猾時(shí)豈以悠無(wú)姐風(fēng)貨險(xiǎn)益利像率參舉賭債恒進(jìn)仿行爹融升資疾。家平鑼均舅超蒙額檢報(bào)康酬波的山增炭量妖是料：這躍一席投補(bǔ)資永組循合污有淚1磁.早0葛的頃權(quán)視數(shù)域在減市蹤蝶場(chǎng)里，叮在體G欠M墾，漲以閃及捐在凡無(wú)潑風(fēng)賺險(xiǎn)可資橫產(chǎn)儀。診它往的址變堅(jiān)異樂(lè)數(shù)適是燈。所姻以慶其爪變晚異梳數(shù)欠增獲量穗為椒：去軍掉狼趨百近臣於疼0派的識(shí)項(xiàng)灑，粉則謠G艘M勉的記風(fēng)潤(rùn)險(xiǎn)軍邊詳際油價(jià)別格鵲是借：p積f個(gè)寄別寸證車券申的裙期摟望趴報(bào)擺酬牧(隊(duì)續(xù)太)在仇均帽衡攻的圖情擾況景下蔬，床G豪M甚股裁票村的裂風(fēng)掙險(xiǎn)生邊丘際駛價(jià)福格廊必污須避和片市軟場(chǎng)剛投彈資撓組陶合答的到相盟等快。備所夕以析我春們六可先以營(yíng)得答到像：為棟決持定羅G遣M紹股致票付的丘風(fēng)今險(xiǎn)綠升堆水猜，惡我廳們烘稍宰加氧重瓦組字以乳獲囑得同至樣眨的找，款因曉為爐(烤7坑)圈式茂，甲可婆得糞到妖相當(dāng)同昆的燒結(jié)狂果師。T透r蔥e童y液n奪o瞇r訴績(jī)廢效鵝指竊標(biāo)T朱r諒e湖y鄉(xiāng)豐n欣o士r晉的幣績(jī)直效們指木標(biāo)級(jí)為躍：債投羨資尸組改合抓P巴在揭某祥段松期眼間發(fā)的糧平滲均鈔報(bào)劃酬慚率默，紐奉同張期借間聾無(wú)激風(fēng)午險(xiǎn)厚資爬產(chǎn)奏的突平汗均占報(bào)骨酬繼率念，洪投封資氣組悶合煎P犁的禾系屆統(tǒng)括風(fēng)金險(xiǎn)箏指躺標(biāo)偷。T怖r著e點(diǎn)y銜n銳o祥r贊的卸績(jī)?nèi)剐у佒甘蹣?biāo)亞是可同屆時(shí)錦考兇量刮投膽資豎組愿合融的抽期澆望媽報(bào)灰酬慣率儉與看風(fēng)稼險(xiǎn)偉。壟T水r肯e箏y測(cè)n率o辣r斑指濃標(biāo)共假其設(shè)誕投亡資糖組足合稍是酸風(fēng)板險(xiǎn)貫完夫全坑分饅散航，腦即督表用示伐其岔總逗風(fēng)丑險(xiǎn)傘只鉤包前括勒系砌統(tǒng)掠性期風(fēng)告險(xiǎn)像。T胸r酒e餐y果n嘉o秀r蕉績(jī)注效雞指匪標(biāo)臨(燦續(xù)磨)T眠r歲e迫y驗(yàn)n景o翅r仙指餅標(biāo)醫(yī)考項(xiàng)慮歐多明餘視超艷額奶報(bào)納酬鑄與偏其仁系統(tǒng)統(tǒng)過(guò)性辨風(fēng)兩險(xiǎn)底之默間登的放抵春換遮關(guān)孫係賓。T沃r梢e默y懸n場(chǎng)o姜r濾績(jī)燈效蕩指渠標(biāo)蔥衡枯量驗(yàn)每耐單股位拿系返統(tǒng)演風(fēng)樂(lè)險(xiǎn)孕的嬸風(fēng)釋險(xiǎn)吼貼扭水射，雕因聽(tīng)此趟，盒T犯r異e繼y喪n菠o主r拔指曾標(biāo)躺較厭大爪的臉投銹資攜組盟合匠，類其支每貼單賭位友系規(guī)統(tǒng)立風(fēng)掩險(xiǎn)拜的褲風(fēng)砌險(xiǎn)掙貼窯水兄也吊較畝大醋，要表明示晝其蘭績(jī)幼效擦較圖佳左。此喂指性標(biāo)新較輝適釘合躺應(yīng)根用賺於霧評(píng)管估塵風(fēng)譽(yù)險(xiǎn)京分濟(jì)散跡效較果鴉較奇佳選的完投歷資王組特合君或療基齡金單。由爸於統(tǒng)T泛r母e拋y諷n倡o脖r鋤指畢標(biāo)抄的可計(jì)春算紙涉遍及迎B罰e愧t哈a慚係肚數(shù)躬的逆估國(guó)算座，表因銅此希，獅投是資稱者鬼必算須度先涉挑嘆選豬一姐個(gè)箱市精場(chǎng)管投閑資擋組庸合館指匯標(biāo)濱；甜值性得廟注膠意翠的擁是隙，郵若隆市見(jiàn)場(chǎng)疑投咽資粱組螞合果指均標(biāo)杰挑送選圈錯(cuò)當(dāng)誤榜，悟則彈利冠用孔T跪r襖e循y蹈n問(wèn)o輩r躬指洽標(biāo)怖比魔較填投臺(tái)資割組談合充的甲績(jī)猶效解時(shí)烏，喊可趟能辦會(huì)柿有哲錯(cuò)巧誤它發(fā)擾生井。T援r擴(kuò)e舍y漢n鳴o稠r懸績(jī)褲效乏指緞標(biāo)旺(耀續(xù)獲)統(tǒng)計(jì)量投資組合ABCD報(bào)酬率20.0%15.0%10.0%8.0%無(wú)風(fēng)險(xiǎn)報(bào)酬率4.0%4.0%4.0%4.0%風(fēng)險(xiǎn)貼水16.0%11.0%6.0%4.0%Beta係數(shù)1.601.001.000.80Treynor指標(biāo)10.0%11.0%6.0%5.0%資螞料悼來(lái)冤源卷：愧謝仙劍掃平逮，輝「受財(cái)銷務(wù)形管紗理胡新咐觀奪念祥與妙本森土躍化訪(熄再美版娃)盤(pán)」M室a芬t母l繡a刻b百E蔑x剩a料m逢p斃l模e景舊順務(wù)主嶺流時(shí)(句C杯S夫0暑9逆)死成稍份凈股藝：告南僵亞貼(算1挺3備0姓3引)鈴、錯(cuò)永勺大涂(蜻1俊5靈0畜7景)范、團(tuán)正吹隆同(鹽1派9楊0難4渡)噸、斥華駕紙辣(漿1車9嚼0柜5棉)艘、蹈光橡寶航科柴(呈2氧3點(diǎn)0孝1味)索、旬矽尊品盤(pán)(年2夠3黑2被5帆)跟、掉臺(tái)練積針電別(賊2吃3槍3脂0陵)吵、辯友漲訊翅(第2莖3漲3屬2眼)退、勺敬洲鵬匯(揀2蛾3們5讀5憐)稈、況華進(jìn)碩闊(羅2登3相5匯7洋)廊、輛致開(kāi)茂草(慎2糖3暑6額0憑)膊、桂昆對(duì)盈狗(竿2錦3主6扛5至)廁、獲瑞邊昱憑(仿2漏3毫7糊9賢)皆、視廣倒達(dá)鎖(頁(yè)2透3喇8裳2曲)掏、務(wù)合討勤架(純2轉(zhuǎn)3劍9任1