股票型分级基金的业绩评价体系研究

发布时间：2018-01-02 12:30

本文关键词：股票型分级基金的业绩评价体系研究　出处：《贵州财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：对基金的业绩进行评价主要包括四方面的内容，他们分别是：对基金的总体业绩进行评价、对基金的选股择时能力进行研究、对基金业绩持续能力进行评价以及如何对基金进行综合定量评价①。根据国内的实际情况来看，基金业绩的研究已经持续了很多年，但是仍然存在着很多的不足，主要表现在模型运用的不合时宜性以及对样本的选择不具有代表性等。具体到分级基金而言，国内研究的最多的是关于对分级基金定价方式和交易套利的研究，但是对分级基金业绩进行评价的研究则很少见诸笔端。而随着分级基金在国内的快速发展，对分级基金进行业绩评价已成为了一个不可回避的问题。由于分级基金具有结构化的特点，，因此广受追捧，但是分级基金是否能够超越市场业绩、是否能够在基金市场中脱颖而出则需要我们进一步的研究。本文以股票型分级基金为代表，对股票型分级基金的业绩表现进行了评价。通过进行线性回归，着重对股票型分级基金与其对应的子基金和传统型股票基金在总体业绩、选股择时和持续性方面进行了比较。由于本文急切想要了解的是与其它类型基金的区别，因此本文忽视了对股票型分级基金的综合定量评价，进而进一步确认分级基金与传统基金相比是否明显具有优势。本文的研究拓展了国内对基金业绩进行研究的宽度，通过股票型分级基金与其它类型基金的横向比较、股票型分级基金与其对应的子基金的纵向比较的研究，我们可以发现股票型分级基金在市场中的业绩能力并不具备明显的优势。希望通过本文的研究，可以为投资者和基金管理者带来更多的思考和启迪。
[Abstract]:To evaluate the performance of the fund mainly includes four aspects, they are: To evaluate the overall performance of the fund, to study the fund stock selection ability, evaluation of fund performance continued and how ability to fund a comprehensive quantitative evaluation. According to the domestic actual situation, the research on fund performance has been for many years, but there are still many shortcomings, mainly not representative in the choice of sample and be inopportune or inappropriate. Specific to the classification of the fund, the domestic research about the most is the study on the classification of the fund arbitrage pricing and trading, but the research on the classification of the fund evaluation the results are very rare in the end. And with the classification of the fund the rapid development in China, to evaluate the performance of the classification fund has become an unavoidable The problem of the classification fund is structured, so popular, but the classification of the fund is able to outperform the market performance, whether in the fund market, talent shows itself we need further study. In this paper, equity fund classification as the representative of the stock fund classification performance was evaluated by linear regression. That focuses on Equity Fund Classification and the corresponding sub fund and traditional equity funds in the overall performance, timing and duration were compared. Because of the eager to understand is the difference with other types of funds, so we ignore the comprehensive quantitative evaluation of equity fund classification, and further confirm the classification compared with the traditional fund fund is of significant advantage. This study extends the domestic research on fund performance through the stock width. Compared with other types of fund fund classification, study on the longitudinal comparison of Equity Fund Classification and the corresponding sub funds, we can find that the Equity Fund Classification in the market performance does not have obvious advantages. Through this research, for investors and fund managers to bring more thinking and inspiration.

【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

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