treynor index การใช้

• In the field of securities investment , earning rate , standard deviation , sharpe index , treynor index and jensen index are five important indexes for assessing fund performance
• Some of securities investment fund is evaluated by fund rate of return , treynor index , jensen index and sharpe index in this article . there is any conclusion according analyzing evaluation of performance in the article
• In the beginning , the main appraisal methods are summarized in western countries , which are treynor index , sharpe index and jensen index based on capital and asset pricing model and multi - factors model
• On the aspect of performance appraisal , western countries has accumulated abundant research outcomes , among which the most famous methods are treynor index , sharpe index and jensen index based on the asset portfolio theorem and capital and asset pricing model
• Follows the property combination choice theory , the capital asset fixed price model and the stock price behavior three big finances theories appearance , forms set of maturer appraisals systems gradually , mainly includes the treynor index , the sharpe index , the jenson difference return to scale
• Through comparing with the advantage and disadvantage of pure earning method ( per net capital , investment earning ratio ) and risk - adjusted method ( jensen index , treynor index , sharpe index , m2 , t - m model , h - m model , morning star ) . the paper point out the existing problem on the performance measurement of equity investment fund
• Using the net assets per capital , the investment return rate , the t - m model , the h - m model , the single factor evaluating model which consists of the treynor index , the jensen index , the sharpe index and the square m index , we evaluate the performance of the twelve mutual funds . and we come to the following conclusions : ( 1 ) after the modification of the risk factor , our mutual funds in the recent one year outguess the market ; ( 2 ) better performance comes from the aid of the government , the improvement of the investment environment and the hard , smart work of the managers especially in the way of selecting some securities in the capital market . ( 3 ) though we make progress , there are still many problems which prevent the further development of our mutual funds such as the devise of the management fee and the characteristics of different funds , all of them divided into the subjective ones and the objective ones
• Chapter three , the traditional indexes in performance appraisal of investment funds , such as original earning rate , jensen index , sharpe index and treynor index have been studied in comparison . semi - risk adjusted earning rate , m2 measure index and vavoc index etc . are improved performance appraisal indexes , and have been introduced
• It can make evaluation results more apparent and objective when used to evaluate performance of chinese securities investment funds comprehensively . from three aspects of fund performance , that is risk premium , performance attribution and performance persistence , this paper selects 11 evaluating index , which include sharpe index , treynor index , jenson index and so on . it makes this evaluation system can represent funds ’ performance information completely , afterwards main component analysis is carried out to predigest evaluation outcome to obtain final evaluation result