基于数据包络分析的我国开放式基金业绩评价研究

发布时间：2018-01-10 12:29

本文关键词：基于数据包络分析的我国开放式基金业绩评价研究　出处：《广西大学》2013年硕士论文　论文类型：学位论文

【摘要】：2001年9月华安创新——我国第一只开放式基金诞生,打开了我国基金业的新篇章。此后,封闭式基金逐渐退出基金业的舞台,开放式基金代之成为基金业的新宠。尽管开放式基金在我国的发展历史不长,但其交易灵活、品种多、创新快的特点吸引了大量的投资者,使其规模不断的高速扩大,成为基金业的主流。但同时,与迅速发展的开放式基金市场相比,有关其业绩评价的研究在我国的发展却相对落后。如何选择一只业绩优良的开放式基金进行投资,如何科学合理的评价基金业绩,不仅是困扰广大投资者的问题,也是基金管理者与各位基金研究者关注的热点。国内的基金业绩研究主要借鉴国外的先进理论与模型,还处于初级阶段。对目前我国的基金业发展来说,构建一个适合我国基金市场现状的基金业绩评价体系是十分迫切的。本文用数据包络分析法,对我国开放式基金业绩做了评价,具体如下：首先,对研究开放式基金业绩评价的背景、意义和方法做了简单介绍。其次,对国外有关开放式基金业绩评价的主流代表性理论、方法做了系统的介绍与评价,作为本文的理论研究基础。再次,简单介绍了数据包络分析法的来源、模型与应用,并对其在基金业绩评价方面的适用性做了证明分析。在此基础上,通过设计指标,收集近年的新数据,使用产出导向型的C2R和BC2模型对我国六类共111只开放式基金进行分析,并在得出结果后,与国内比较权威的晨星评级结果进行比较。最后,在实证研究的基础上,得出结论,分别对投资者、管理者和监管者三方提出建议,并展望了我国开放式基金业绩评价的未来发展。
[Abstract]:In September 2001, Hua'an Innovation-China's first open-end fund was born, which opened a new chapter in China's fund industry. Since then, closed-end funds have gradually withdrawn from the stage of the fund industry. Although the development history of open-end fund in our country is not long, it has attracted a large number of investors because of its flexible trading, variety and fast innovation. The rapid expansion of its scale has become the mainstream of the fund industry, but at the same time, compared with the rapid development of the open-end fund market. The research on its performance evaluation is relatively backward in our country. How to select an excellent open-end fund for investment and how to evaluate the performance of the fund scientifically and reasonably. It is not only a problem puzzling investors, but also a hot spot for fund managers and fund researchers. The domestic fund performance research mainly draws lessons from the foreign advanced theory and the model, is still in the preliminary stage, for our country's fund industry development at present. It is very urgent to construct a fund performance evaluation system suitable for the current situation of our country's fund market. This paper uses the data envelopment analysis method to evaluate the performance of our country's open-end fund, as follows: Firstly, the background, significance and methods of the performance evaluation of open-end funds are briefly introduced. Secondly, it systematically introduces and evaluates the mainstream representative theories of open-end fund performance evaluation in foreign countries, which is the theoretical basis of this paper. Thirdly, the source, model and application of data Envelopment Analysis are briefly introduced, and its applicability in fund performance evaluation is proved and analyzed. On this basis, through the design of indicators. Collect the new data in recent years, use the output oriented C2R and BC2 model to analyze the six categories of 111open-end funds in China, and get the results. And domestic comparison authority Morningstar rating results are compared. Finally, on the basis of the empirical research, we draw a conclusion that the investors, managers and regulators should be advised, and the future development of open-end fund performance evaluation in China is prospected.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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