基于DEA的我国开放式基金绩效评价研究

发布时间：2018-03-18 20:11

本文选题：数据包络分析　切入点：开放式基金　出处：《合肥工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：开放式基金一直是我国基金投资的主要组成部分，对其绩效的评价也是一个及其复杂的系统工程。我国开放式基金自诞生以来发展迅速，但是对开放式基金的业绩、绩效评价却相对滞后，这给我国开放式基金的投资者、管理者和监管者开展工作都带来了很大的不便。因此，迫切需要建立一个更加有效的基金绩效评价体系。国内外对基金绩效评价方面的理论和实践有很多，我们根据前人对基金绩效评价的理论研究成果，找到这些传统理论的优缺点及其在适用性，对他们进行分析比较，找出它们在应用上的不足。探讨分析了我国开放式基金绩效评价中市场基准选择中存在的问题，在此基础上，最终选取了更适合我国开放式基金现状的数据包络分析法进行绩效评价，并根据DEA模型指标选取原则从盈利能力、成长性、成本率以及风险方面综合考虑，构建出一套符合我国开放式基金发展现状的绩效评价体系。运用DEA模型对2007年、2008年和2009年3年不同的市场行情时期的基金绩效进行评估，分析比较不同时期样本基金的不同表现，找出持续投资运营有效和一直处于管理无效的样本基金，为投资者提供一个直观的投资依据。通过差额变量分析找出基金无效率的原因，，并给出无效率基金输入输出变量的改善空间以及我国基金行业需要改进的方向。
[Abstract]:Open-end fund has always been the main component of fund investment in China, and the evaluation of its performance is also an extremely complex system engineering. China's open-end fund has developed rapidly since its birth, but the performance of open-end fund has been greatly improved. Performance evaluation is relatively lagging, which brings great inconvenience to the investors, managers and regulators of open-end funds in China. Therefore, it is urgent to establish a more effective fund performance evaluation system. There are a lot of theories and practices on fund performance evaluation at home and abroad. According to the previous theoretical research results of fund performance evaluation, we find out the advantages and disadvantages of these traditional theories and their applicability, and analyze and compare them. Find out their shortcomings in application, discuss and analyze the problems existing in the selection of market benchmark in the performance evaluation of open-end funds in China, and on this basis, Finally, the paper selects the data envelopment analysis method which is more suitable for the current situation of open-end funds in our country to evaluate the performance, and according to the DEA model index selection principle from the profitability, the growth, the cost rate and the risk aspect synthetically considers, To construct a set of performance evaluation system in line with the development of open-end funds in China. This paper uses DEA model to evaluate the performance of funds in different market periods in 2007, 2008 and 2009, and analyzes and compares the performance of sample funds in different periods. To find out the sample funds which are effective and have been managed effectively, which provide an intuitive basis for investors to invest, and find out the reasons for the inefficiency of the fund through the analysis of the difference variables, and find out the reasons for the fund's inefficiency through the analysis of variance variables. The paper also gives the improvement space of inefficiency fund input and output variables and the direction to be improved in Chinese fund industry.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】