我国开放式基金业绩持续性分析

发布时间：2018-01-02 22:44

本文关键词：我国开放式基金业绩持续性分析　出处：《青岛大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国经济快速发展,人均国民收入水平的提高,催生了众多中小投资者参与社会投资的需求。中小投资者的资金量小,而且分散,一般的投资方式很难使其获得与大投资者一样的投资收益。证券投资基金恰巧满足了众多中小投资者的这一需求,它将社会的分散资金集中起来,汇集成规模较大的资金,采用专业化的团队进行管理,运用投资组合降低投资风险,从而获得较高的收益,因此证券投资基金在众多中小投资需求的刺激下快速地发展起来。证券投资基金业绩持续性分析,是研究基金的历史业绩对未来业绩是否存在一定程度的揭示作用。本文着重考察2002年之前上市的,可收集到数据的17只开放式基,并对样本周期在3个月、6个月、1年、2年、3年、5年和整个样本期的不同情况,进行业绩持续性问题的探讨。首先,采用列联表法,以周收益率和夏普比率为评价指标对基金整体业绩持续性进行分析。研究结果表明：以夏普比率为评价指标的基金业绩持续性要优于以周收益率为评价指标的基金业绩持续性,基金整体业绩持续性随检验周期的延长而减弱。其次,采用kendall协同系数法,以周收益率和夏普比率的排序为评价指标,对基金业绩排名稳定性进行分析。分析结果表明,基金收益率排序指标几乎不存在稳定性。最后,运用马氏链一步转移矩阵和达到稳定态的结果对以两年、三年、五年为考察周期的基金业绩排序稳定性进行分析及预测,研究结果发现：基金的周收益率排序整体上几乎不存在持续性；大部分基金业绩排序不稳定；并预测了稳态分布情况下各个基金业绩未来一段时间所在的排名位置。
[Abstract]:With the rapid development of China's economy and the improvement of per capita national income, the demand of many small and medium-sized investors to participate in social investment has been spawned. The amount of funds of small and medium-sized investors is small and dispersed. It is difficult to obtain the same investment income as large investors in general investment methods. Securities investment funds happen to meet the needs of many small and medium-sized investors, it concentrates the scattered funds of the society. Pooled into larger funds, the use of professional teams to manage, use the portfolio to reduce investment risk, thus obtaining higher returns. Therefore, securities investment funds in a large number of small and medium-sized investment demand under the stimulation of rapid development. The sustainability analysis of the performance of the securities investment funds is to study whether the historical performance of the fund has a certain degree of revealing effect on future performance. This paper focuses on the listed before 2002. There are 17 open bases which can collect the data, and the performance continuity of the sample period in 3 months, 6 months, 1 year, 2 years, 3 years, 5 years and the whole sample period is discussed. First of all, the column table method is used. Based on the weekly rate of return and Sharpe ratio as evaluation indicators, the analysis of the fund's overall performance sustainability. The results show that:. The sustainability of fund performance based on sharp ratio is better than that on weekly rate of return. Fund overall performance sustainability with the extension of the test cycle and weakened. Secondly, the stability of fund performance ranking is analyzed by using kendall synergy coefficient method and ranking of weekly rate of return and Sharpe ratio as evaluation index. There is almost no stability in the index of fund return ranking. Finally, using the one-step transfer matrix of Markov chain and the results of stable state, the stability of fund performance ranking is analyzed and forecasted in the period of two years, three years and five years. The results show that the weekly rate of return of the fund is almost non-persistent; Most of the fund performance ranking is unstable; And predicted the stable distribution of the performance of each fund in the next period of time where the ranking position.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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