我国开放式基金业绩评价—来自2006-2010年数据

发布时间：2018-01-15 08:00

本文关键词：我国开放式基金业绩评价—来自2006-2010年数据　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：自我国第一只开放式基金“华安创新”2001年9月面世成立以来,我国基金行业进入了快速发展的阶段,规模和数量都迅速增长,种类也日益丰富,10年里走过了西方成熟市场基金行业的百年历程。截止2011年12月底,国内共有68家基金公司,共发行了974只基金产品,总份额为26,866.61亿份,资产净值为22050.54亿元。证券投资基金成为中国资产市场上最大的机构投资者,基金业将迎来全面繁荣的时期。另一方面,基金业是为广大社会公众代行“资产管理和资金运作的职能”,不可避免地存在委托-代理和道德风险的问题。因此如何提高开放式基金的投资绩效,如何帮助个人投资者做出正确的投资决策,以及如何对基金管理公司进行有效监控,而对开放式基金业绩的分析和评价能够为这些问题的解决提供很好的依据和指导。本文分析了30只股票型基金在2006年1月-2010年12月之间的业绩表现。从基金风险调整前后的收益率比较,基金选择证券和市场时机、基金业绩的持续性等方面都进行了考评,采取的方式是Sharpe, Treynor和Jensen三大经典指数、T-M模型和H-M模型、回归系数法和绩效二分法等方法。实证结果表明,风险调整之后,大部分的基金仍取得超过市场基准组合的业绩,尤其在2006年和2007年的牛市行情中,这些股票型基金获得普遍获得较高的收益率。但是没有证据表明基金存在持续性,能够在前期排名靠前的基金大部分不能在后期持续表现优秀。
[Abstract]:Since the establishment of China's first open-end fund "Hua'an Innovation" in September 2001, China's fund industry has entered a stage of rapid development. By the end of December 2011, there were 68 fund companies in China, and 974 fund products were issued, with a total share of 26. Eighty-six billion six hundred and sixty-one million, with a net asset value of two tillion two hundred and five billion fifty-four million yuan. The securities investment fund has become the largest institutional investor in China's asset market, and the fund industry will usher in a period of full prosperity. Fund industry is the function of asset management and capital operation for the general public, which inevitably has the problems of principal-agent and moral hazard. So how to improve the investment performance of open-end funds. How to help individual investors to make the right investment decisions, and how to effectively monitor fund management companies. The analysis and evaluation of the performance of open-end funds can provide a good basis and guidance for solving these problems. This paper analyzes the performance of 30 equity funds between January 2006 and December 2010. From the comparison of the return rate before and after risk adjustment, the fund selects securities and market opportunities. Fund performance sustainability and other aspects have been evaluated, adopting Sharpe, Treynor and Jensen three classic index T-M model and H-M model. Regression coefficient method and performance dichotomy. Empirical results show that after risk adjustment, most funds still achieve more performance than the market benchmark portfolio. Especially in the bull market of 2006 and 2007, these equity funds have generally obtained higher returns. But there is no evidence that the funds are sustainable. Most of the funds that can top the list in the early stages can't continue to perform well in the later stages.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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