基金家族的绩效与风险及相关关系研究

发布时间：2018-01-12 05:01

本文关键词：基金家族的绩效与风险及相关关系研究　出处：《湖南大学》2013年博士论文　论文类型：学位论文

【摘要】：近年来，随着中国基金业的飞速发展，基金家族已经成为基金市场最重要的存在形式，受到越来越广泛的关注。基金家族内部各基金之间存在着错综复杂的关系，既相互竞争又相互合作，在提高基金市场平均收益的同时也加大了基金市场的波动性。基金家族的整体绩效和风险是基金家族所有投资者效益和风险的集中体现：一方面，单只基金作为基金家族的一个成员，其业绩表现以及风险状况等必然会受其所在基金家族影响；另一方面，家族绩效和风险将影响投资者对基金家族内单只基金的认知，进而影响投资者的决策。基金家族成员的投资风格趋同和投资风格漂移，以及基金家族所属基金管理公司的股权结构对家族绩效和风险都有着显著的影响。由此可见，开展基金家族绩效与风险的研究具有重要的理论价值和现实意义。针对当前基金相关文献大多只是基于单只基金层面的绩效和风险研究的片面性和局限性，以及基金绩效与风险关系研究的匮乏性，本文对基金家族的绩效、风险、投资风格漂移和所属基金管理公司股权结构等对二者的影响，以及这它们之间的关系进行定量研究。本文首先进行相关理论分析，从定性角度剖析有关基金和基金家族的基本问题，包括基本概念，与绩效评价相关的资本资产定价理论、套利定价理论和数据包络分析理论，以及与风险分析相关的信息不对称理论、委托代理理论、投资者有限注意理论和投资组合理论，从而为基金家族绩效和风险的研究奠定基础。然后，选取中国证券市场2006年1月1日前推出的96只开放式偏股型基金构成的31个基金家族为研究对象，以基金的期初单位净值、单位运营费用、收益率标准差为输入变量，基金净值增长率、平均收益率和Sharpe比率为输出变量，采用超效率DEA方法评价基金家族绩效；根据投资组合的思想，结合多元t-Copula联合分布函数在刻画相关关系方面的优势和VaR风险测度法度量下方风险的特点，构建一个t-Copula-VaR模型，度量基金家族风险；采用基于风格分析模型的SDS方法测量投资风格漂移程度，利用测量结果分析投资风格漂移对基金家族绩效和风险的影响；构建截面回归模型，分析基金管理公司股权机构对基金家族绩效和风险的影响；考虑不同经济形势的影响，采用回归分析法研究金融危机前、危机期间和危机后基金家族绩效与风险之间的关系。最后，总结基金家族发展存在的问题以及未来发展趋势，并在此基础上提出中国市场基金家族发展的3大创新策略。基金家族绩效评价的研究结果表明，在研究期间中国市场各基金家族之间绩效差距较大，且大部分基金家族为DEA无效，此外基金家族在绩效持续性方面并没有表现出统一的特征；在基金家族风险度量研究中，多元t-Copula函数的非正态、非线性相关系数矩阵的计算结果显示，同一基金家族内部各成员基金之间存在较强的相关关系，并且基金家族所含基金的数目的多少对于整个基金家族的风险值的大小并无显著的影响；基金家族投资风格漂移对基金家族绩效和风险的影响研究表明，基金家族的投资风格漂移程度较大，它与基金家族绩效是负相关的，而与家族风险水平则是正相关的，并且基金家族绩效和风险具有明显的持续性；基金管理公司股权结构对基金家族绩效和风险的影响研究表明，，中国市场基金家族绩效和风险与所属基金管理公司股权集中度均呈现U型关系。此外，基金管理公司第一大股东控制力的增强以及外资的引入有助于提升基金家族绩效，但也会使基金家族面临更大的风险；基金家族风险与绩效的关系研究结论显示，不同的经济形式下二者表现出不同的相关关系，金融危机之前和危机期间两者显著负相关，而危机之后两者关系不显著。
[Abstract]:In recent years, with the rapid development of Chinese fund industry, fund family has become the most important form of fund market, attracted more and more attention. A perplexing relationship exists between fund families within the fund, both competition and cooperation, in improving the fund average market profit also increased the volatility of fund market the fund family's overall performance and risk is the concentrated reflection of all the risks and benefits of fund family investors: on the one hand, a single fund as a member of the family fund, its performance and risk status will be affected by the impact of fund family; on the other hand, investors' cognition of fund family in single fund the influence of family performance and risk, thereby affecting investors' decision-making. Family members of fund investment style convergence and investment style drift, and the fund family The ownership structure of the fund management companies has a significant impact on family performance and risk. Therefore, we can see that the research of fund family performance and risk has important theoretical and practical significance.
In view of the current literature mostly just fund performance and risk of a single fund level of one sidedness and limitations and lack of research based on the relationship between fund performance and risk, the performance of fund family risk, investment style drift and the influence of the fund management company ownership structure on the two, quantitative this study as well as the relationship between them.
This paper first analyzes the related theories, analysis of the basic issues related to funds and fund families from the qualitative point of view, including the basic concept, and performance evaluation of capital asset pricing theory, arbitrage pricing theory and data envelopment analysis theory and information asymmetry theory and related risk analysis, principal-agent theory, theory and portfolio investors with limited attention the theory, which lay the foundation for the study of fund family performance and risk. Then, select the Chinese launched in January 1, 2006 the stock market before the 96 open partial stock funds of 31 fund families as the research object, to fund the initial net unit, the unit operation cost, rate of return standard deviation as the input variables, the net value of the fund the growth rate, the average rate of return and Sharpe ratio as output variables, using super efficiency DEA method to evaluate fund family performance; according to the portfolio of thinking Think, below the advantages and characteristics of risk VaR risk measure measure combined with multivariate t-Copula distribution function in the description of related aspects, build a t-Copula-VaR model to measure fund family risk; using SDS method based on style model analysis of investment style drift level, influence the investment style drift of fund family performance and risk analysis the measurement results; building cross-section regression model, analysis of the impact of equity agency fund management company of fund family performance and risk; considering the influence of different economic situation, using regression analysis to study the financial crisis, the relationship between fund family performance and risk during the crisis and post crisis. Finally, summarize the existing problems and the development of fund family the future trend of development, and on the basis of Chinese market fund family development 3 innovative strategies.
Study on the fund family performance evaluation results show that during the study the performance gap between the larger market China fund family, and most of the fund family DEA is invalid, in addition to fund performance persistence in the family did not show uniform characteristics; in the research fund family risk measurement, multiple t-Copula function non normal, nonlinear calculation the correlation matrix shows that there is a strong correlation between the same fund family members and the number of funds, fund family with the number of fund for risk of the fund family values were not significantly; research fund investment style drift family influence on fund family performance and risk that investment style drift of fund family is large, it is negatively related to the fund family performance, and family risk level is positively related to the, And has the apparent persistence of fund family performance and risk; research on the ownership structure of the fund management company of the fund family performance and risk that China equity market fund family performance and risk and the fund management company concentration showed U type. In addition, the fund management company is the largest shareholder of the enhanced control and foreign investment the introduction will help enhance the fund family performance, but also makes the fund families face greater risk; results of the relations between familial risk and performance of fund shows that different economic conditions between the two shows the correlation is not the same, both before and during the financial crisis had a significant negative correlation, and the relationship between the two after the crisis is not significant.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51;F275

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