我国证券投资基金的绩效评价与实证研究

发布时间：2018-01-08 19:14

本文关键词：我国证券投资基金的绩效评价与实证研究　出处：《哈尔滨工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国居民个人收入及生活水平的不断提高，人们不再满足于单一的银行储蓄，而期待着寻找更高回报率的理财方式。证券投资基金的出现，为人们的投资理财提供了一个更好地选择。虽然我国证券投资基金较国外市场来讲起步较晚，但是发展迅速，目前已经成为中国资本市场上重要的构成机构之一。伴着它的迅猛发展，如何才能全面、公正、客观、有效地对现有证券投资基金进行评价，也成了人们更加观注的话题。基金的绩效评价分为一方面包括收益率评价，风险评价，另一方面包括基金业绩来源，找到其自身业绩不佳的原因所在。有鉴于此，本文首先分析了国内学者研究理论的成果，然后采用我国近三年来基金市场的数据进行实证分析，综合利用特雷诺指数，夏普指数，和詹森指数对基金风险收益进行综合比较。另外，利用T-M，H-M模型，对基金经理的择时能力和择股能力进行评价。并利用取得的各种相关指标建立综合因子评价模型，利用主成分析法，找出业绩评价的有效因子，对样本基金进行综合评定。最终利用BRINSON绩效归因模型找到基金绩效不佳的原因，并对基金绩效的持续性进行检验。全文分为四章，前两章分别为绪论及理论部分研究，全文重点在于第三章实证分析部分，，第四章为结论和可行性建议。研究表明，目前我国基金整体业绩表现超过无风险收益率，可以做为储蓄的替代品。基金经理的择股能力比较明显，但是在择时能力方面表现欠佳，整体绩效并不具有持续性。利用绩效归因分析可以检验基金经理的资产配置是否合理，判断其证券选择能力的强弱。以上的研究方法和结论无论是对于投资者还是基金公司均有所帮助。
[Abstract]:With the continuous improvement of personal income and living standard, people are no longer satisfied with the single bank savings, and look forward to looking for a higher rate of return of financial management, the emergence of securities investment funds. It provides a better choice for people to invest and manage money. Although the securities investment fund of our country starts later than the foreign market, it develops rapidly. At present, it has become one of the most important institutions in Chinese capital market. With its rapid development, how to evaluate the existing securities investment funds comprehensively, impartially, objectively and effectively. On the one hand, the performance evaluation of the fund includes the rate of return evaluation, risk evaluation, on the other hand, including the source of fund performance, find out the reasons for its poor performance. In view of this, this paper firstly analyzes the achievements of domestic scholars' research theory, and then uses the data of fund market in recent three years to carry on empirical analysis, synthetically using Traineau index and Sharp index. In addition, T-M H-M model is used to compare the risk return of the fund with Jensen index. This paper evaluates the timing ability and stock selection ability of fund manager, and establishes a comprehensive factor evaluation model by using various relevant indicators obtained, and finds out the effective factors of performance evaluation by using the principal analysis method. Finally, using the BRINSON performance attribution model to find out the reasons for the fund performance is poor, and to test the sustainability of the fund performance. The full text is divided into four chapters. The first two chapters are the introduction and the theoretical part respectively, the full text focuses on the third chapter empirical analysis part, 4th chapter is the conclusion and the feasibility suggestion. The research shows that the overall performance of Chinese funds exceeds the risk-free rate of return, which can be used as a substitute for savings. Fund managers have obvious stock selection ability, but the performance of timing ability is poor. The overall performance is not sustainable. Using performance attribution analysis can test whether the asset allocation of fund managers is reasonable. The above research methods and conclusions are helpful to both investors and fund companies.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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