我国股票型开放式基金绩效评估的实证研究

发布时间：2018-06-13 23:14

本文选题：股票型开放式基金 + 绩效评估　；参考：《厦门大学》2009年硕士论文

【摘要】： 自1998年基金金泰和基金开元的开篇之作,到2001年开放式基金首发,到2005年商业银行涉足基金业设立基金管理公司,再到2006年基金封转开的实行,在经济金融快速发展的背景下,伴随着制度的不断完善,产品的不断丰富,我国基金业用11年走完了国外一百多年的发展历程,无论在规模上还是结构上都发生了翻天覆地的变化。在新的金融环境下,面对数量众多,风格各异的基金产品如何客观合理的评价,已成为基金参与各方越来越关注的问题。一个完整的基金绩效评估体系必须包括:基金收益风险衡量、基金经理投资能力分析和基金业绩的持续性分析三方面。本文借鉴国内外证券投资基金业绩评估的研究成果,结合我国证券市场的实际情况,选用了2004年至2008年间的20只股票型开放式基金,对开放式基金风险收益特征、基金经理投资能力分析和业绩持续性分析进行了深入的理论阐释和实证分析。为今后进一步的研究提供阶段性的结论和参考性的建议。本文主要运用经典的风险调整收益指标、VaR及基于VaR的RAROC法、T-M模型、C-L模型、转移矩阵法和整体持续性指标等方法,用日、周、年不同时间周期收益率分阶段进行实证分析,得出的主要结论如下:(1)我国开放式基金收益超越基准组合收益,体现了专业有效的资产管理能力;(2)三个经典风险调整收益指标保持一定程度的内部一致性,综合比较得出夏普指数更具代表性;(3)我国基金不具备选时能力,整体上具有一定的选股能力,在不同阶段有不同显著程度的选股能力,在牛市选股能力更显著;(4)我国基金业绩整体上不具备持续性,基金经理高频率更替是一重要影响因素。本文最后结合实证研究的结果和相关原因分析,对发展我国开放式基金提出了相关政策建议。
[Abstract]:From the beginning of the fund Jintai and the fund Kaiyuan in 1998 to the open-end fund in 2001, to the establishment of fund management company by commercial banks in the fund industry in 2005, and to the implementation of fund closure in 2006, under the background of rapid economic and financial development, With the continuous improvement of the system and the continuous enrichment of the products, the fund industry of our country has completed the development process of more than 100 years in foreign countries in 11 years, both in terms of scale and structure, has undergone earth-shaking changes. In the new financial environment, how to evaluate the fund products objectively and reasonably in the face of a large number of funds with different styles has become an issue of increasing concern to all parties involved in the fund. A complete fund performance evaluation system must include: fund income risk measurement, fund manager investment ability analysis and fund performance analysis. This paper draws lessons from the research results of domestic and foreign securities investment fund performance evaluation, combined with the actual situation of China's securities market, selects 20 open-end equity funds from 2004 to 2008, and analyzes the risk return characteristics of open-end funds. The fund manager's investment ability analysis and performance persistence analysis have carried on the thorough theory explanation and the demonstration analysis. To provide the stage conclusion and the reference suggestion for the future further research. This paper mainly uses the classical risk-adjusted return index VaR, the RAROC method based on VaR and the T-M model C-L model, the transfer matrix method and the global persistence index and so on, carries on the empirical analysis with the day, the week, the year different time cycle rate of return in different stages to carry on the empirical analysis. The main conclusions are as follows: 1) China's open-end fund income exceeds the benchmark portfolio income, which reflects the professional and effective asset management capability. (2) the three classic risk-adjusted income indicators maintain a certain degree of internal consistency. Comprehensive comparison shows that Sharp index is more representative than others.) China's funds do not have the ability to select stocks, they have the ability to select stocks in general, and they have the ability of selecting stocks to different degrees at different stages. In the bull market, the ability of stock selection is more significant. 4) the overall performance of Chinese funds is not sustainable, and the high frequency turnover of fund managers is an important influencing factor. Finally, based on the results of empirical research and the analysis of relevant reasons, this paper puts forward some policy recommendations for the development of open-end funds in China.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2009
【分类号】：F832.51

【引证文献】