基于超效率DEA模型的开放式基金绩效研究

发布时间：2018-01-02 16:35

本文关键词：基于超效率DEA模型的开放式基金绩效研究　出处：《南京航空航天大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国基金行业的快速发展，开放式基金在证券市场中扮演着越来越重要角色。当前主流的以净值增长为导向的基金评价方法，不能很好地考察开放式基金的各影响因素，具有一定的片面性。因此本文利用超效率数据包络（超效率DEA）模型，试图构建一个包括从基金风险、风险收益、管理人能力、持股特征、费用成本和交易特征等多方面因素的基金绩效评价体系。本文首先阐述了研究背景与意义，然后对国内外关于基金业绩评价方面的最新研究成果与理论进行述评，指出现有研究的长处和不足，然后结合我国证券市场的实际，，将数据包络分析思想引入基金业绩评价，建立了一个基于超效率DEA的评价模型，采用投入/产出效率值来评估基金绩效。模型的投入指标为经主成分分析提取的风险收益因子、纯风险因子、投资集中度因子和持股时长因子；产出指标为经正向化和标准化处理过的收益率因子和利润率因子。在此基础上，对我国60只开放式股票型基金在2009年至2012年的绩效表现进行实证分析，并按照市场时期、基金规模和投资风格进行绩效分析。结果显示在市场强势期中，中等规模基金和价值型基金表现出色；市场弱势期下中等规模基金和成长型基金表现最佳。我们还通过效率分析、投影分析和相关性分析分析，探讨基金无效率的原因，并研究了不同基金公司、不同时期基金绩效间的相关关系。最后结合实证分析所得结论，从投资基金管理者、监管者、投资者的角度分别给出对策建议。
[Abstract]:With the rapid development of China's fund industry, the open-end fund is playing a more and more important role in the securities market. The fund net growth oriented evaluation to the current mainstream method, the influence of each factor is not well studied open-end funds, which is one-sided. This paper using super efficiency data envelopment (the super efficiency DEA model), trying to build a fund from risk, risk income, management ability, stock characteristics, factors of cost and transaction characteristics of the fund performance evaluation system.
This paper describes the research background and significance, and the latest research results and theory at home and abroad on the fund performance evaluation are reviewed, and points out the advantages and disadvantages, and then combined with the reality of our country stock market, data envelopment analysis theory into fund performance evaluation, establishes an evaluation model for super the efficiency of DEA based on the input / output efficiency value to evaluate fund performance. The input index model by principal component analysis risk factor extraction, pure risk factor, investment factor and ownership concentration time factor; output index is the positive and standard treatment yield factor and profit rate factor.
On the basis of China's 60 Open-end Equity Fund in the empirical analysis of performance from 2009 to 2012, according to the market, fund size and investment style performance analysis. The results showed that in the strong market, medium-sized fund and the value of the fund outstanding performance; the best performance of the market vulnerable period under medium the size of the fund and Growth Fund. We also through efficiency analysis, projection analysis and correlation analysis, to explore the causes of inefficient funds, and the effects of different fund companies, the relationship between fund performance in different periods.
Finally, combined with the conclusions of the empirical analysis, the countermeasures are given from the perspective of investment fund managers, supervisors and investors.

【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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