我国开放式基金业绩影响因素分析

发布时间：2018-04-22 00:34

本文选题：基金业绩 + 影响因素　；参考：《西南财经大学》2014年硕士论文

【摘要】：截至2013年12月31日,我国国内基金公司数目达到89家；基金市场上共有基金1552支,其中开放式基金1476支,份额规模占全部基金份额规模的96.01%。如此大规模的资产情况已经确立开放式基金在我国证券市场上的核心地位。基金市场的发展,一方面影响着广大投资者的收益,另一方面也关乎着中国资本市场的稳定。因此,对影响基金业绩的因素进行研究无疑有着重要的实际意义。根据基金业绩归因理论,基金的业绩主要归因为两大方面：选股能力与择时能力,这两种能力是基金经理能力的表现,是基金业绩形成的主要原因。“选股能力”是指基金经理对不同的股票进行识别,在合适的时点做出买入或者卖出的正确决定的能力,利用价值投资的理念,买入价值被低估的股票,卖出价值被高估的股票。“择时能力”是指基金经理能够及时调整仓位,合理配置风险资产与无风险资产的比重,正确地判断市场走势的能力。本文在基金业绩归因理论的基础上,选取持股集中度作为代表选股能力的指标,选取持股比例作为代表择时能力的指标,二者为解释变量；选取基金净值增长率作为代表基金业绩的指标,该指标为被解释变量；并且将与之关系密切的资金周转率、风险和基金规模这三个指标作为控制变量。旨在研究持股集中度、持股比例等变量的变动对基金净值增长率的影响。为此,本文主要分为三部分对基金业绩影响因素进行研究论证：一、文献综述：首先对马考维茨(Markowitz)的投资组合理论(Portfolio Theory)、资本资产定价模型(CAPM)以及套利定价理论APT(Arbitrage Pricing Theory)等证券投资基金的基本理论进行综述；在此基础上通过对基金业绩归因理论的介绍,得出影响基金业绩的两大条主线：选股能力和择时能力,并以此奠定了本文研究的理论基础。接着对关于选股能力和择时能力的实证研究的文献进行综述。最后对国内外的相关文献进行总结并提出本文的研究方向：现有的研究多是在T-M,H-M模型的基础上判断基金是否具备选股择时能力,本文没有沿袭文献中常用模型,而是选取与投资者投资行为关系密切的统计指标持股集中度、持股比例等对基金业绩进行归因分析。二、建立模型：对选取变量的依据进行介绍,将各变量的变化对基金业绩的影响做定性分析,然后对各变量进行定义及说明；最后对实证分析中将要用到的面板数据模型进行简要介绍并初步建立研究模型。三、实证部分：选取我国2005年12月31日以前成立的37只股票型开放式基金作为样本基金,选择2006年1月到2013年6月期间的30个季度作为研究时间区间,通过定性分析和定量分析相结合的方式分析研究代表基金选股能力和择时能力的持股集中度、持股比例及与之关联密切的资金周转率、风险以及基金规模对股票型开放式基金净值增长率的影响。首先是描述性统计分析,这为实证研究打下基础。从均值、标准差、方差、偏度系数、峰度系数等方面对所选取的37只基金30个季度的基金资产净值进行分析描述；然后对所选取的变量(季末净值增长率、持股集中度、持股比例、基金资产周转率、基金收益变动率以及基金规模)从均值、中位数、最大值、最小值、标准差、偏度、峰度等方面进行描述性统计分析；最后分别画出2006年至2013年期间37只基金中每一只基金在30个季度内的持股集中度、持股比例、资金周转率、收益变动率以及基金规模等变量的趋势曲线图,观察各变量随时间的变动而表现出来的特点,并从37只基金中各选取有代表性的四只基金作为重点描述趋势变化的对象。接着进行实证研究,运用面板数据(Panel Data)模型实证分析持股集中度、持股比例、资金周转率、风险以及基金规模这五个指标在长期市场行情下对基金季度净值增长率的影响；再根据2006年至2013年期间我国股市行情“过山车”的特点,按照时间将我国股市行情分为三个阶段：为股市上升阶段、下跌阶段以及股市震荡阶段。根据不同的行情阶段,建立相应的面板数据模型来分别研究在市场不同行情阶段中持股集中度、持股比例、资金周转率、风险以及基金规模的变动对我国开放式股票型基金的净值增长率的影响。通过实证分析得出以下结论：(1)持股集中度对市场的动向比较敏感,在短期,当市场行情上升时,持股集中度成为所有变量中对基金净值增长率作用最为显著的变量,对基金业绩的贡献程度很大；当市场行情下跌时,持股集中度却对基金业绩没有显著影响；当市场行情震荡时,持股集中度对基金业绩的影响较大。在长期,持股集中度对基金的净值增长率有同向的显著影响。(2)持股比例除了在股市行情震荡时,对基金净值增长率的作用不显著以外,在其他市场行情中,均对基金收益有正向且较为显著的作用。(3)资金周转率的突出特点是在市场下跌时,对基金净值增长率作用十分显著。基金规模除了在下降行情和震荡行情中呈现对基金净值增长率的促进作用以外,在其他市场上均导致了基金收益的下降。风险在股市下跌时作用为负向影响,在市场的其他行情和长期市场中则不显著。在得出以上结论的基础上,提出了相应的建议：(1)对于基金投资者而言,在考虑选择何种基金时,各基金的持股集中度一定是众多影响基金业绩的因素中需要着重考虑的指标。在股市上涨时,选择持股集中度和持股比例都较高而基金规模较小的基金可获得较高的收益；在股市下降时,则适合选择持股集中度和持股比例低,而资金周转率和基金规模高的基金；在股市震荡期,应选择持股集中度、持股比例以及基金规模高但资金周转率低的基金进行投资。在较为长期的市场中,投资者应重点关注持股集中度与持股比例,因为相对于其他指标而言,持股集中度与持股比例对基金的作用最突出。(2)对于基金管理者而言：基金管理者应更多关注市场的运行,根据不同的市场环境来制定不同的资产配置策略。在短期,当股市处于上升趋势时,持股集中度的变动对基金净值增长率的变动作用很显著,基金经理应采取集中持有股票的策略,采用稳健的投资风格。当股市处于下跌情形的时候,持股集中度和持股比例对基金净值的影响非常小,反而基金规模对基金净值表现非常显著,基金资金周转率次之,所以,基金管理者应改变集中持股的方针,分散投资,同时采取主动的投资策略,保持基金资产达到一定的规模,这样才能最大限度地在股市下跌的情况下减少损失。在股市处于震荡期时,基金经理应避免频繁交易行为,保持较低的基金资金周转率,采取稳健的策略。提高重仓股的比例,将基金资产聚集在盈利高且有发展前景的股票资产上,同时加大基金的规模。而在长期,建议基金管理者通过集中策略,充分发掘被低估或具有广阔前景的股票和行业,扩大基金规模,采取稳健的投资风格,降低交易频率。本文特点在于以下两个方面： (1)与文献中采用T-M、H-M等模型研究基金业绩影响因素不同,本文根据基金业绩归因理论,使用市场中常用统计指标(持股集中度、持股比例、资金周转率、风险、基金规模等变量)进行探索性建模,来分析基金业绩影响因素,这样更有利于指导基金投资者和基金管理者的实际投资行为。 (2)本文除了分析长期的市场行情外,还根据我国股市的特点,分析了短期不同市场行情下(上升行情、下降行情、震荡行情)基金业绩影响因素的差异,并进行归纳总结和阐述分析,分析比较全面完整。本文的不足在于： (1)选取的基金数据起自2006年,选取了37只开放式股票型基金,由于样本空间受限,这在一定程度上影响了本文实证结论的稳健性。 (2)在变量的选取方面,选择了持股集中度,持股比例,基金资金周转率,风险和基金规模这五个变量来研究对基金业绩的影响,然而基金经理和基金投资者在实际投资行为中,考虑的因素有可能会更多。
[Abstract]:As of December 31 , 2013 , the number of domestic fund companies in China reached 89 ;
There are 1552 funds in the fund market , of which 1476 are open - ended funds , accounting for 96.01 % of the whole fund share . Such a large - scale asset condition has established the core position of the open - ended fund in China ' s securities market . The development of the fund market , on the one hand , affects the income of the vast majority of investors and the stability of China ' s capital market . Therefore , the study of factors that affect the performance of the fund is of great practical significance .

According to the theory of fund performance attribution , the performance of the fund is mainly due to two main aspects : the ability of stock selection ability and the time - selecting ability , which are the main reasons for fund performance .

Based on the theory of fund performance attribution , this paper selects the shareholding concentration as the indicator of the ability of selecting stocks , and selects the proportion of shares as the indicator of the optional time - time ability , both of which are explanatory variables ;
selecting the growth rate of the fund as an index representing the performance of the fund , wherein the index is an explanatory variable ;
And the three indexes of fund turnover rate , risk and fund scale closely related to it are used as control variables . The purpose of this paper is to study the influence of the changes of shareholding concentration , shareholding ratio and other variables on the growth rate of net worth .

For this reason , this paper mainly divides into three parts to study the influencing factors of fund performance :

Firstly , the paper reviews the basic theories of portfolio theory , capital asset pricing model ( CAPM ) and arbitrage pricing theory ( APT ) , which are the investment portfolio theory ( portfolio theory ) , capital asset pricing model ( CAPM ) and arbitrage pricing theory ( APT ) .
Based on the introduction of fund performance attribution theory , two main lines which affect fund ' s performance are summarized .

secondly , establishing a model : introducing the basis of the selected variable , carrying out qualitative analysis on the influence of each variable on the performance of the fund , and then defining and explaining each variable ;
Finally , the panel data model to be used in the empirical analysis is briefly introduced and the research model is established preliminarily .

III . Empirical section : Select 37 stock - type open - ended funds established by China on December 31 , 2005 as sample funds , select 30 quarters between January 2006 and June 2013 as the research time interval , and analyze the influence of the shareholding concentration , shareholding ratio and fund turnover rate , risk and fund scale on the growth rate of stock - type open - ended funds by means of qualitative analysis and quantitative analysis .

Firstly , descriptive statistics are used to describe the net asset value of the selected 37 funds in 30 quarters from the aspects of mean value , standard deviation , variance , deviation coefficient , peak coefficient , etc .
Then a descriptive statistical analysis is made on the selected variables ( net value growth rate , shareholding concentration , shareholding ratio , fund asset turnover rate , fund yield variation rate and fund scale ) from mean value , median , maximum value , minimum value , standard deviation , deviation degree , peak degree , etc .
Finally , each of 37 funds in the period from 2006 to 2013 is drawn , and each of the 37 funds has a trend graph of shareholding concentration , shareholding ratio , fund turnover rate , yield variation rate and fund scale , etc . The characteristics of each variable over time are observed , and four representative four funds are selected from 37 funds as objects to focus on the trend change .

Then , empirical research is carried out to analyze the impact of the five indexes of shareholding concentration , shareholding ratio , capital turnover rate , risk and fund size on the quarterly net value growth rate of the fund under the long - term market conditions by using Panel Data model .
According to the characteristics of the stock market in China during the period from 2006 to 2013 , the stock market in China is divided into three stages : the rising stage of the stock market , the falling stage and the stage of the stock market oscillation . According to different market conditions , the corresponding panel data model is established to study the influence of the shareholding concentration , the shareholding ratio , the capital turnover rate , the risk and the change of the fund scale on the net value growth rate of the open stock fund in China .

Through the empirical analysis , the following conclusions are drawn : ( 1 ) The shareholding concentration is sensitive to the market dynamics , and in the short - term , when the market price rises , the shareholding concentration becomes the most significant variable of the net value growth rate in all the variables , and the contribution degree to the fund performance is great ;
When the market price falls , the concentration of shares has no significant impact on the performance of the fund ;
There is a significant impact on the fund ' s performance when the market is oscillating . In the long run , the shareholding concentration has a significant impact on the fund ' s net worth growth rate .

On the basis of the conclusion above , the corresponding suggestions are put forward : ( 1 ) For fund investors , the concentration degree of each fund must be the indicator of many factors that affect the performance of the fund . When the stock market goes up , the stock ownership concentration and the proportion of holding the fund are higher and the smaller fund of the fund can get higher returns ;
When the stock market goes down , it is suitable to select the fund with low holding concentration and low holding proportion , and the capital turnover ratio and fund size are high ;
In the short - term , the fund manager should focus on the stock ownership concentration and the proportion of shares , because the fund managers should pay more attention to the operation of the market and adopt a sound investment strategy .

This paper is characterized by the following two aspects :

( 1 ) Based on the theory of fund performance attribution theory , the paper analyzes the influencing factors of fund performance based on the theory of fund performance attribution , and uses common statistical indicators in the market ( such as shareholding concentration , shareholding ratio , fund turnover rate , risk , fund scale and so on ) to analyze the impact factors of fund performance , which is more conducive to guiding the actual investment behavior of fund investors and fund managers .

( 2 ) In addition to the analysis of the long - term market conditions , according to the characteristics of China ' s stock market , this paper analyzes the difference of the influencing factors of the fund ' s performance under the short - term and different market conditions ( rising market , falling market and oscillation ) , and summarizes and elaborates the analysis , and the analysis is complete and complete .

The deficiency of this paper is :

( 1 ) Since 2006 , 37 open - ended stock funds have been selected , which has influenced the robustness of the empirical conclusions in this paper to some extent due to the limited sample space .

( 2 ) With regard to the selection of variables , five variables such as shareholding concentration , shareholding ratio , fund capital turnover rate , risk and fund scale are selected to study the impact on fund performance , however , the factors considered by fund managers and fund investors in actual investment behavior are likely to be more .

【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】：F224;F832.51

【参考文献】