我国证券投资基金绩效评价方法研究

发布时间：2018-01-02 06:08

本文关键词：我国证券投资基金绩效评价方法研究　出处：《山东大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国的证券投资基金从产生到发展已经经历十几年,近年来基金业的发展速度很快,基金规模呈几何速度增长,目前已达到成立时的40亿倍。随着我国经济的不断发展,基金产品的需求不断增加,所以证券投资基金在资本市场上逐渐表现出其积极性和重要性。但是我国基金市场还不成熟,体制还不健全,基金运作和管理水平参差不齐,基金产品的市场表现差距较大,即使相同管理公司管理的的基金其市场表现有很大不同,究竟是什么原因影响了基金的表现,投资者又该如何综合评价基金绩效,这些都是亟待解决的问题。所以,本文将其作为研究目的和方向。本文对评价基金绩效的多种方法进行比较,总结了其优缺点,再此基础上提出了主客观约束的基金绩效评价方法,综合评价基金绩效,并建立了基于信息熵和粒子群优化算法基金评价体系优化方法。根据基金绩效的影响因素,本文选取了基金的风险、收益、风险调整收益、基金费用、基金经理能力水平等六大类、十三个指标,通过建立的模型和优化方法,对10支基金在2009年度的业绩表现做出综合评价,并给出了10支样本基金在2009年的综合绩效排名情况。结果显示,论文提出的方法切实可行,能够兼顾考虑投资者主观意愿和基金客观表现,并给出基金绩效/的有效评价。
[Abstract]:The securities investment fund in China from generation to development has experienced more than ten years, the development speed of the fund industry in recent years is very fast, the fund size of exponential growth rate has reached 4 billion times when it was founded. With the continuous development of our economy, the increasing demand for fund products, so the securities investment funds in the capital market gradually showing its importance and enthusiasm. But China's fund market is not mature, system is not perfect, fund operation and management level uneven, fund product market performance gap, even if the same fund management companies in the market is very different, what are the reasons affecting the fund's performance. Investors and the performance evaluation of funds, these are the problems to be solved. Therefore, this paper takes it as the research purpose and direction.
This paper compares several methods of fund performance evaluation, summarizes its advantages and disadvantages, and then put forward on this basis the fund performance evaluation methods of subjective and objective constraints, performance evaluation of funds, and the establishment of information entropy and particle swarm optimization algorithm based on fund evaluation system optimization method. According to the factors affecting the performance of the fund, this paper selects the fund risk, income, risk adjusted returns, fund cost, fund manager ability in six categories, thirteen indicators, through the establishment of the model and optimization method, make a comprehensive evaluation of 10 funds in the 2009 annual performance, and gives the 10 samples of the Fund ranked in the comprehensive performance of the situation in 2009. The results show that the proposed method is feasible and can take into consideration the subjective intention and objective performance of fund investors, and gives the fund performance evaluation.

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

【参考文献】