股票型基金绩效归因分析理论和实证研究
发布时间：2018-12-26 15:49
【摘要】：随着我国经济社会发展和居民收入水平的不断提高,人们不再满足于单一的银行储蓄,转向寻求更高回报率的理财方式。自1998年第一支基金发行以来,我国基金业发展迅速,证券投资基金已经成为我国机构投资者和中小投资者重要的金融投资工具之一,如何合理地评价基金绩效也成为基金管理公司、基金评价机构、投资者和研究人员关注的焦点问题。绩效归因方法是科学度量基金经理投资决策效果并帮助其改善投资业绩最有效的方法之一,是基金绩效评估体系中的重要环节,其本质上是将投资组合的实际绩效与一个市场基准的收益进行比较,将两者之间的差额即基金超额收益分解成与投资经理决策过程对应的几种效应,以解释超额收益的来源。现在国内普遍使用的绩效归因方法是国外80年代以前就发展起来的外部评价法,而对于目前国际主流的内部评价法,无论是理论研究还是实践应用都仍较少。本文在研究国外基金绩效归因理论成果的基础上,将几种主要的绩效归因外部评价法和内部评价法做了对比,重点对内部评价法的代表Brinson绩效归因模型做了较为详尽的介绍,并运用多期Brinson模型对我国股票型开放式基金2004—2015年的业绩数据进行了归因分析。结果表明,证券选择能力构成我国股票型开放式基金主要的业绩来源,基金业绩表现与业绩来源的稳定性存在一定关联。
[Abstract]:With the development of economy and society in China and the improvement of income level, people are no longer satisfied with the single bank savings and turn to seek higher financial returns. Since the first fund was issued in 1998, the fund industry in China has developed rapidly, and the securities investment fund has become one of the important financial investment tools for institutional investors and small and medium-sized investors in China. How to evaluate fund performance rationally has also become the focus of attention of fund management companies, fund evaluation institutions, investors and researchers. The performance attribution method is one of the most effective methods to scientifically measure the effect of fund managers' investment decision and help them to improve their investment performance. It is also an important link in the fund performance evaluation system. In essence, it compares the actual performance of the portfolio with the return of a market benchmark, and decomposes the difference between the two into several effects corresponding to the decision-making process of the investment manager to explain the origin of the excess return. At present, the commonly used performance attribution method in China is the external evaluation method developed before the 1980s. However, there are still few internal evaluation methods in the international mainstream, either in theory or in practice. On the basis of studying the achievements of foreign fund performance attribution theory, this paper compares several main performance attribution external evaluation methods with internal evaluation methods, and focuses on the detailed introduction of Brinson performance attribution model, which is the representative of internal appraisal method. Based on the multi-term Brinson model, this paper analyzes the performance data of equity open-end funds in China from 2004 to 2015. The results show that the ability of securities selection constitutes the main source of performance of China's equity open-end funds, and the performance of funds is related to the stability of the sources of performance.
【学位授予单位】：北京邮电大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
[Abstract]:With the development of economy and society in China and the improvement of income level, people are no longer satisfied with the single bank savings and turn to seek higher financial returns. Since the first fund was issued in 1998, the fund industry in China has developed rapidly, and the securities investment fund has become one of the important financial investment tools for institutional investors and small and medium-sized investors in China. How to evaluate fund performance rationally has also become the focus of attention of fund management companies, fund evaluation institutions, investors and researchers. The performance attribution method is one of the most effective methods to scientifically measure the effect of fund managers' investment decision and help them to improve their investment performance. It is also an important link in the fund performance evaluation system. In essence, it compares the actual performance of the portfolio with the return of a market benchmark, and decomposes the difference between the two into several effects corresponding to the decision-making process of the investment manager to explain the origin of the excess return. At present, the commonly used performance attribution method in China is the external evaluation method developed before the 1980s. However, there are still few internal evaluation methods in the international mainstream, either in theory or in practice. On the basis of studying the achievements of foreign fund performance attribution theory, this paper compares several main performance attribution external evaluation methods with internal evaluation methods, and focuses on the detailed introduction of Brinson performance attribution model, which is the representative of internal appraisal method. Based on the multi-term Brinson model, this paper analyzes the performance data of equity open-end funds in China from 2004 to 2015. The results show that the ability of securities selection constitutes the main source of performance of China's equity open-end funds, and the performance of funds is related to the stability of the sources of performance.
【学位授予单位】：北京邮电大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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