商品交易顾问（Commodity Trading Advisor，CTA）基金作为非 主流投资工具的一种，由于其与股票和债券等主流投资品种的相关性 很低，可以显著 的降低投资组合的标准差、增加组合的风险调整后收 益，但由于我国期货市场发展尚不完善，期货品种与资金容量还比较 小，以及机构投资者的缺位，我国目前的CTA基金的发展 还处于起步 阶段。研究CTA基金的业绩评价体系，提高基金业绩评估的准确度， 有助于投资者合理地筛选和配置CTA基金，从而对于丰富投资者资产 配置选择以及提升我国期货市 场专业化程度都具有重要的研究价值。 本文首先介绍了CTA基金的基本概念和海内外的发展历程，然后 根据笔者多年来的相关工作经验按CTA基金的不同维度进行分类归纳， 并结 合实际介绍了一套完整的CTA基金业绩评估体系的要素和评估流 程，分析了该业绩评估体系的优势和劣势，针对原有业绩评估体系中 的问题，提出了对基金经理趋势择时能力和对 冲套利能力评价的创新 方法，构建了一套更加适合CTA基金自身特性的业绩评价体系，最后 对改进前后的基金业绩评价体系进行了实证分析。 本文研究的结果显示，改进后的业 绩评价体系能够更加准确地评 估CTA基金的业绩情况，具有更好的稳定性和持续性，因而对于基金 投资人，尤其是合格机构投资者更加深入地理解和配置CTA基金具有 指导意义， 继而对于我国CTA基金乃至期货市场向着专业化、成熟化 的方向快速发展具有一定的现实意义。 关键词：商品交易顾问CTA，基金，业绩评价，择时，对冲套利 THE RESEARCH ON THE PERFORMANCE EVALUATION SYSTEM OF COMMODITY TRADING ADVISORS FUND ABSTRACT As a non-mainstream investment tool, commodity trading advisory fund can significantly reduce the standard deviation of investment portfolio and increase the risk-adjusted return of portfolio because of its low correlation with mainstream investment varieties such as stocks and bonds. However, because of the development of China's futures market is still imperfect and institutional investors are absent. The development of CTA fund in our country is still in its infancy. Studying the performance evaluation system of CTA funds and improving its accuracy is helpful for investors to select and allocate CTA funds reasonably. Therefore, it is of great research value to enrich investors'asset allocation options and enhance the specialization of China's futures market. This paper first introduces the basic concepts of CTA funds and the development process at home and abroad. Then it classifies CTA funds according to different dimensions based on the author's work experience for many years. It also introduces the most commonly used performance evaluation methods of CTA funds in practice, and analyzes the advantages and disadvantages of traditional methods. On this basis, a more suitable performance evaluation system for the characteristics of CTA funds is constructed, and an innovative method for evaluating the asset allocation ability and hedging arbitrage ability of fund managers is proposed. The result of this study shows that this method can more accurately assess the performance of CTA funds, and has better stability and sustainability. Therefore, it has guiding significance for investors, especially qualified institutional investors, to understand and allocate CTA funds more thoroughly and accurately, and then for CTA funds and even futures in China. The rapid development of the market in the direction of specialization and maturity has certain practical significance. KEY WORDS： commodity trading advisors（CTA）, fund, performance evaluation, market-timing, hedging arbitrage 目 录 前 言 ...................................................................................................................................................... 1 第一 章 绪论............................................................................................................................................ 2 1.1 研 究背景与意义 ................................................................................................................. 2 1.1.1 研究背景 .................................................................................................................. 2 1.1.2 研究意义 .................................................................................................................. 2 1.2 本文结构与方法 ................................................................................................................. 3 1.2.1 本文结构 .................................................................................................................. 3 1.2.2 研究方法 .................................................................................................................. 3 1.3 相关理论介绍 ..................................................................................................................... 4 1.3.1 资产组合理论 .......................................................................................................... 4 1.3.2 资本资产定价模型 .................................................................................................. 5 1.3.3 有效市场假说 .......................................................................................................... 7 第二章 商品交易顾问基金概述 ............................................................................................................ 9 2.1 商品交易顾问基金的概念 ................................................................................................. 9 2.2 商品交易顾问基金的作用 ................................................................................................. 9 2.3 商品交易顾问基金的发展 ............................................................................................... 10 2.3.1 商品交易顾问基金在海外的发展 ........................................................................ 10 2.3.2 商品交易顾问基金在国内的发展 ........................................................................ 12 2.4 商品交易顾问基金的分类 ............................................................................................... 14 2.4.1 商品交易顾问基金分类的意义 ............................................................................ 14 2.4.2 商品交易顾问基金的子类别 ................................................................................ 15 2.4.3 商品交易顾问基金分类的基本特征 .................................................................... 16 2.4.4 商品交易顾问基金的组合分类 ............................................................................ 16 第三章 经典的业绩评价体系 .............................................................................................................. 18 3.1 定量评估指标 ................................................................................................................... 19 3.1.1 基础收益评价指标 ................................................................................................ 19 3.1.2 风险调整收益评价指标 ........................................................................................ 20 3.1.3 基金经理能力评价指标 ........................................................................................ 23 3.2 定性评估指标 ................................................................................................................... 24 3.3 商品交易顾问基金业绩评价体系实例 ........................................................................... 25 第四章 业绩评价体系的改进 .............................................................................................................. 29 4.1 商品交易顾问基金经理能力评价的讨论 ....................................................................... 29 4.1.1 商品交易顾问基金的收益来源 ............................................................................ 29 4.1.2 基金经理能力指标评价的基本方法 .................................................................... 30 4.2 改进的基金经理能力评价指标 ....................................................................................... 32 4.2.1 基金经理趋势择时能力评价 ............................