基于五星级开放式股票基金的基金评价实证分析

发布时间：2018-03-31 07:10

本文选题：五星级基金　切入点：基金业绩评级　出处：《西南财经大学》2014年硕士论文

【摘要】：在全球基金行业100多年发展历程中,基金绩效评价一直是学术界、实务界所关注的问题。证券投资基金具备专家理财、分散风险的特点,越来越受到投资者的关注。 1998年3月27日,我国第一批基金——基金开元、基金金泰设立,拉开了基金行业发展的序幕。2001年9月11日,我国正式发行第一支开放式基金“华安创新”,使得基金我国基金行业进入了新的篇章。特别是2005年后我国基金行业进入爆发式的增长,截止到2014年1月31日,我国共成立基金管理公司90家,共管理基金产品总计1574支,包括：股票型基金、混合型基金、指数型基金、债券型基金等,总资产管理规模突破4万亿元。 2012年2月底,我国基金第三方销售开闸。2013年天弘基金与电商支付平台支付宝合作,各大基金公司登陆淘宝开店。投资者不仅拥有了更多基金产品的选择,并且可以通过各种渠道购买基金产品。如何基于投资者对于基金产品业绩进行评价又成为了一大问题。国内外基金评级机构的基金评级越来越成为投资者对于基金判断的标准。目前,国内基金评级机构主要分为3大类：第一类,国外成熟机构的中国子公司,例如晨星中国(Morningstar);第二类,国内券商基金研究中心,例如银河基金评价中心、海通基金评级、招商基金评级,并非独立评级机构；第三类,第三方证券投资咨询公司,例如天相投顾基金评级。但是,这些基金评级机构的5星评级基金是否能在未来一定时间内带给投资者超过市场基准收益的稳定收益,是我们值得思考的问题。投资者是否能够依据基金评级机构的5星评级去购买基金,并获得超过市场基准收益的稳定收益是本文研究的重点。本文以我国开放式股票基金为研究对象,选取截止2012年12月31日,三大基金评级机构(晨星评级、银河证券基金评级、济安金信基金评级)的5星级基金为样本。从风险调整收益、基金经理的择时和选股能力、基金绩效的持续性三个方面进行实证研究。以期考察5星基金在基金评级后1年的业绩表现,并对三大评级机构的评级有效性进行排序。本文主要内容为：选取2012年底三家机构评选的开放式股票型5星级基金共38支为样本基金,分别从基金的风险调整收益、基金经理择时和择股能力、基金绩效的持续性三方面进行实证分析。基金的风险调整收益,本文选用夏普比率(sharp ratio)、特雷诺指标、詹森a为基金的风险调整收益的评价指标。选取基金的每日复权单位净值(数据来源：wind资讯)进行基金日收益率的计算。选取一年期定存利率为无风险收益率、采用80%沪深300指数收益率与20%上证国债指数收益率构造市场基准收益率。运用Eviews对数据进行实证分析,实证结果显示,三家评级机构所评选的5星级基金中34支够获得高于市场基准的平均日收益率,且仅3支基金获得负的詹森a值,1支基金的贝塔系数高于1。充分说明,五星级基金在评级评价期后的未来一段时间内能够获得高于市场基准的收益水平,并且能够有效的分散风险。在基金的风险调整收益方面,三大评级机构的评级有效性排序依次为：晨星评级、济安金信、银河评级。基金经理的择时和择股能力,本文选用T-M,H-M模型对五星级基金的择时择股能力进行实证分析。运用Eviews对基金日收益率数据进行实证分析：大部分基金具备较强的择股能力,即获得显著的正a值；但几乎所有基金均获得负的二次项系数,即基金具备反转的择时能力,但几乎未通过t检验。说明5星基金具备较强的择股能力,但不具备较好的投资择时能力。基金绩效的持续性分析,本文选用横截面回归模型对基金绩效的绝对持续性进行实证分析。本文选取2周、四周、3个月的基金超额收益率,分别运用Eviews进行横截面回归,以考察各基金在2周、4周、3个月基金业绩持续性。回归结果显示以四周为周期的业绩持续性研究中,38支基金均获得了显著的不为0的斜率系数,并且通过T检验。说明5星基金能在一定时期内具备一定的业绩持续性。三家评级机构的评级有效性排序依次为：晨星评级、济安金信、银河基金评级。通过实证分析,最终本文认为,5星级开放式股票基金能够在未来一定时期内获得高于市场基准水平的收益,并能在一定程度上进行风险的分散；大部分5星基金具备较强的股票选择能力,却不具备证券投资的择时能力。并且,5星级基金在短期具备基金绩效的持续性。在一定程度上,评级机构的基金评级是有效的,购买5星级基金可以为投资者带来超过市场基准的收益。三家基金评级机构的评级有效性排序分别为：晨星中国(Morningstar)、济安金信、银河基金评级。由实证结果显示,晨星基金评级所评选的20支五星基金,从风险调整收益,基金的择时择股能力、基金绩效持续性来看都优于其余两家机构。而银河五星评级基金则表现相对较差。
[Abstract]:During the 100 - year development of the global fund industry , the performance evaluation of the Fund has been a concern of the academic community and the substantive world . The securities investment fund has the characteristics of expert financial management and diversification risk , and is more and more concerned by investors .

On March 27 , 1998 , China ' s first fund of funds , fund Kaiyuan and fund Jintai established , opened the prelude of the fund industry development . On September 11 , 2001 , China officially launched the first open - end fund , " Huian innovation " , so that the fund industry of our country has entered a new chapter . Especially after 2005 , our fund industry has entered a new chapter . Especially after 2005 , China ' s fund industry has entered a new chapter . In particular , China ' s fund management company has been set up 90 in 2005 , including stock fund , mixed fund , index fund , bond fund , etc . , and the total assets management scale exceeds RMB 4 trillion yuan .

At the end of February 2012 , China ' s fund third - party sales opened . In 2013 , Tianhong Fund collaborated with the payment platform Alipay , and each big fund company landed in Taobao opening store . The investors not only have more fund products choice but also can buy the fund products through various channels . The domestic fund rating agencies are increasingly becoming the standard for investors to judge the fund . At present , domestic fund rating agencies are mainly divided into three categories : first class , China subsidiary of mature institutions , such as the Galaxy Fund Evaluation Center , the rating of the Fund , the rating of the Merchants Fund , and not the independent rating agencies ;
Third , third - party securities investment consulting firms , such as the day - based investment consulting firms , have ratings . But whether the five - star rating fund of these fund - rating agencies can bring investors beyond market benchmark returns for a certain period of time is a matter that we are worth thinking . Whether investors can buy funds based on the five - star rating of the fund rating agency and gain stable returns over market benchmarks is the focus of the study .

Taking the open stock fund of our country as the research object , the five - star fund is selected as the sample as of December 31 , 2012 , the rating agencies of the three big funds ( the rating of the morning star , the rating of the Galaxy Securities Fund and the rating of Ji ' an Jinxin Fund ) as the sample . From the risk adjustment benefit , the fund manager ' s choice and the stock selection ability and the sustainability of the fund performance , this paper studies the performance of the five - star fund in one year after the fund rating , and sorts the rating effectiveness of the three rating agencies .

The main contents of this paper are as follows :

A total of 38 open stock - type five - star funds selected by the three institutions in the end of 2012 were selected as sample funds , from the risk - adjusted income of the fund , the timing of the fund manager , and the performance of the fund .

The results show that 34 of the five - star funds selected by the three rating agencies have the average daily yield higher than the market benchmark , and only 3 funds have the negative Jansa value and the Beta coefficient of the fund is higher than 1 . The five - star funds can obtain the income level above the market benchmark in the next time after the rating evaluation period , and can effectively disperse the risk .

The paper selects T - M and H - M model to carry on the empirical analysis on the ability of the optional time - selecting stock of the five - star fund by using the T - M and H - M model .
However , almost all funds have negative secondary coefficients , i.e . , the Fund has an inverted time - time capacity , but has barely passed the t - test . It illustrates that the five - star fund has a strong choice of stocks , but does not have a better time - time capacity .

The paper selects two weeks , four weeks and three months ' fund excess returns , and uses Eviews to carry out cross - sectional regression respectively to investigate the performance sustainability of the funds in 2 weeks , 4 weeks and 3 months . The results show that 38 funds have a significant slope coefficient of not 0 in 2 weeks , 4 weeks and 3 months , respectively . The results show that 38 funds have a certain performance persistence in a certain period . The ranking effectiveness of the three rating agencies is in turn : Morning Star Rating , Ji ' an Jinxin , Galaxy Fund rating .

Through the empirical analysis , the paper concludes that the five - star open stock fund can obtain the income above the market benchmark level for a certain period of time , and can carry out the risk dispersion to a certain extent ;
Most of the five - star funds have strong stock options , but they do not have the ability to invest in securities . In a certain extent , the five - star fund has the sustainability of fund performance .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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