我国股票型开放式基金绩效的持续性研究

发布时间：2018-03-26 07:32

本文选题：业绩持续性　切入点：创业板市场　出处：《复旦大学》2012年硕士论文

【摘要】：我国开放式证券投资基金已经发展了近12年,基金的业绩表现日渐受到投资者、监管者以及基金管理人本身、基金托管人等多方参与者的重视,其中基金绩效的持续性是业绩研究的重点之一。基金业绩持续性(Performance Persistence)是指基金的绩效并非随机分布,且表现出持续性的特征。基金的业绩是否持续、持续性的影响因素不仅在学术界受到系统性研究,而且在实践中被作为投资策略、信息披露以及基金本身绩效考评的必要性依据受到广泛性关注。本文以资产定价理论框架下经风险调整的超额收益作为业绩评价基准,用参数方法与非参数方法对基金产品和基金经理两种研究对象分别进行短期和长期业绩的持续性检验。短期的业绩检验在对基金超额收益进行一阶自回归检验的基础上进行了ARMA模型的构建,具体考察了短期滞后项的过往表现对未来业绩的解释与影响,并借鉴美国共同基金的方法对我国股票型开放式基金的整体业绩水平进行了绝对业绩的加权平均回归。长期的业绩检验则针对由基金转化的经理人业绩,采用了交叉积的正态分布检验与卡方检验。并比较了经理人变动频率不同的基金业绩。检验结果表明,基金产品的短期业绩不具有持续性,只有个别基金呈现出绩效持续的特征,整体业绩也不具有显著异于0的超额收益。结果表明经理人的长期业绩只在间断的2至3年间表现出持续性,且检验结果对数据安排方式敏感,而经理更迭对基金的业绩并无造成显著性差异,在长期业绩持续性方面频繁更换经理的基金整体上略好于经理稳定的基金。本文还考虑了创业板股票市场对基金业绩的影响,检验结果表明多数基金受到了其市场收益的单向因果影响。最后,文章将与证券投资基金管理相似但存在差异的集合计划绩效持续性进行了检验,结果发现集合计划的业绩持续表现也未呈现出持续性。
[Abstract]:China's open-end securities investment funds has been developing for nearly 12 years, the fund performance is increasingly popular with investors, regulators and fund managers, trustees of participants' attention, the fund performance persistence is one of the key performance of the fund performance persistence. (Performance Persistence) refers to the performance is not random distribution the fund, and showed the characteristics of sustained. The performance of the fund is sustained, the factors affecting continuity not only concerned in academia, but also in practice as an investment strategy, based on the necessity of information disclosure and fund performance evaluation of the extensive attention.
Based on the theory of asset pricing under the framework of risk adjusted excess returns as the performance evaluation benchmark, persistence test using parametric methods and non parametric methods of fund products and fund managers are the two subjects of short-term and long-term performance. The performance test in a short order self based regression test on the ARMA model the excess return of funds, analyzes the short-term lag past performance and influence on the interpretation of future performance, and using the methods of weighted mutual funds are absolute performance of China's open-end fund's overall performance level. The average return of long-term performance test for the transformation by the fund managers' performance the normal distribution test, cross product and Chi square test. And compare the changes of different frequency performance of fund managers.
The test results show that the short-term performance of fund products is not persistent, only individual funds showing constant performance characteristics, the overall performance is not significantly different from 0 of the excess proceeds. The results show that the long-term performance of managers showed persistent only in the continuous 2 to 3 years, and the results of the tests on the arrangement of sensitive data however, the manager change caused significant differences on the performance of the fund is not in the long-term performance persistence of frequent replacement of manager funds overall slightly better than the stable fund manager. This paper also considers the influence of stock market on fund performance, the test results show that the majority of funds are affected by the one-way causal impact of market returns this article. Finally, with the administration of securities investment fund is similar but there are differences in the collection plan performance persistence test, find the set of plans are the results of performance persistence Not showing continuity.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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