优秀股票型开放式基金的研究与选择

发布时间：2018-11-14 16:43

【摘要】：目前中国市场上有公募基金约69家，旗下股票型基金总计约500多只，而且近期的A股市场刚经历了一波公募基金的发行潮，股票型基金数量越来越多。每年年底公募基金的“排名大战”更是吸引了几乎所有证券市场参与者的目光。而通过近年的观察，公募基金行业中罕有“常胜将军”，许多明星基金不过昙花一现，，第二年就名落孙山。甚至不少基金长期来看，更是跑输了对比标杆——沪深300指数，这无疑让中国的中小基金投资者（基民）深受伤害，也让人怀疑究竟有多少基金经理为投资者真正创造了价值。所以，如何有效的从众多的股票型基金之中挑选出持续稳健的基金品种对于广大基金投资者来说有着举足轻重意义。此外，优秀的老基金又未必在需要的时候打开申购，如“华夏大盘精选”，那如果能发现优秀基金的共同外部因子从而来预测新基金的表现，那无论是对于投资者选择基金还是基金分销渠道推荐基金都有十分积极的作用。本人总结市场上现有的基金评价模型，并基于它们的优缺点建立了一套“以下行风险为主要风险度量”的自主基金评级系统。然后，通过晨星评级和自主评级进行长期基金表现的排序，并运用多元线性回归模型寻找与优秀基金业绩相关的各种可能变量。最后发现两个模型中，与长期优秀业绩表现有显著相关的变量是“基金经理任职年限”和“年度平均规模变动”。这个结果也符合我们对于基金市场的认知和判断。
[Abstract]:There are about 69 public funds and more than 500 equity funds in the Chinese market, and the A share market has just experienced a wave of public fund issuance, the number of equity funds is increasing. The ranking war of public funds at the end of each year has attracted the attention of almost all securities market participants. Through recent years of observation, the public fund industry rarely "Changsheng General", many star funds but a flash in the pan, the next year on the fall of Sun Shan. Even in the long run, many funds have lost the benchmark, the Shanghai and Shenzhen 300 Index, which undoubtedly hurt China's small and medium-sized fund investors (people), but also cast doubt on how many fund managers have really created value for investors. Therefore, how to effectively select a stable fund from a large number of equity funds is of great importance to the majority of fund investors. In addition, outstanding old funds may not necessarily open up for purchase when needed, such as "Chinese market selection." if the common external factors of outstanding funds can be found to predict the performance of new funds, That is for investors to choose funds or fund distribution channels to recommend funds have a very positive role. This paper summarizes the existing models of fund evaluation in the market, and based on their advantages and disadvantages, establishes a set of independent fund rating system, which takes downlink risk as the main risk measure. Then, the performance of long-term funds is ranked by Morningstar rating and independent rating, and the multivariate linear regression model is used to find out the possible variables related to the performance of excellent funds. Finally, it is found that among the two models, the variables that are significantly related to the long-term excellent performance are "the tenure of the fund manager" and "the annual average scale change". This result also accords with our cognition and judgment to fund market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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