我国开放式股票基金绩效评估的实证研究
发布时间：2018-09-13 15:18
【摘要】：本文首先介绍了我国开放式股票基金的概况以及国内外关于基金绩效评估的现状。其次,本文根据我国证券市场的情况,采用众多样本基金,运用一些基金绩效评估模型对我国开放式股票基金进行了模拟检验,并且在金融危机前后进行比较,验证了这几个回归模型在我国基金业的适用性和准确性。 最后,根据模拟的结果本文认为：基金总体可以战胜市场,基金公司显示了良好的投资管理能力,但在金融危机之后,经济刺激政策出台之后股市处于上升时期,市场指标的涨幅会超过总体基金的投资收益涨幅,基金管理公司之间的投资管理能力参差不齐,两极分化严重；对三个重要评估指标的推荐顺序依次是：Sharpe指标Treynor指标,Jenson指标可以作为参考；各基金的风险大小是由基金管理公司的投资策略所决定的,高风险与高收益不存在正向关系；绝大部分基金都具有选股能力,但缺乏市场时机选择的能力,推荐T-M模型作为基金选股择时能力的评价指标；基金在半年度的持续性分析中,没有显示明显持续性。最后,根据模拟结果提出了一些不足和进一步研究方向。
[Abstract]:This paper first introduces the general situation of open-end stock funds in China and the current situation of fund performance evaluation at home and abroad. Secondly, according to the situation of China's securities market, this paper uses a large number of sample funds, using a number of fund performance evaluation models to test the performance of open-end stock funds in China, and compared before and after the financial crisis. The applicability and accuracy of these regression models in China's fund industry are verified. Finally, according to the results of the simulation, this paper argues that the fund can defeat the market in general, and the fund companies have shown good investment management ability, but after the financial crisis, the stock market is in a rising period after the economic stimulus policy. The increase of the market index will exceed the increase of the total fund's investment income, the investment management ability of the fund management company is uneven, the polarization is serious; The recommended order of the three important evaluation indexes is: the Treynor index and the Jenson index can be used as reference, the risk of each fund is determined by the investment strategy of the fund management company, and there is no positive relationship between the high risk and the high return. Most of the funds have the ability to select stocks, but lack the ability to choose the market timing. T-M model is recommended as the evaluation index of the timing ability of the funds, and the fund does not show obvious persistence in the semi-annual sustainability analysis. Finally, based on the simulation results, some shortcomings and further research directions are proposed.
【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
本文编号：2241552
[Abstract]:This paper first introduces the general situation of open-end stock funds in China and the current situation of fund performance evaluation at home and abroad. Secondly, according to the situation of China's securities market, this paper uses a large number of sample funds, using a number of fund performance evaluation models to test the performance of open-end stock funds in China, and compared before and after the financial crisis. The applicability and accuracy of these regression models in China's fund industry are verified. Finally, according to the results of the simulation, this paper argues that the fund can defeat the market in general, and the fund companies have shown good investment management ability, but after the financial crisis, the stock market is in a rising period after the economic stimulus policy. The increase of the market index will exceed the increase of the total fund's investment income, the investment management ability of the fund management company is uneven, the polarization is serious; The recommended order of the three important evaluation indexes is: the Treynor index and the Jenson index can be used as reference, the risk of each fund is determined by the investment strategy of the fund management company, and there is no positive relationship between the high risk and the high return. Most of the funds have the ability to select stocks, but lack the ability to choose the market timing. T-M model is recommended as the evaluation index of the timing ability of the funds, and the fund does not show obvious persistence in the semi-annual sustainability analysis. Finally, based on the simulation results, some shortcomings and further research directions are proposed.
【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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相关期刊论文 前3条
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