股票型投资基金绩效的评价与分析

发布时间：2018-01-15 10:23

本文关键词：股票型投资基金绩效的评价与分析　出处：《中原工学院》2014年硕士论文　论文类型：学位论文

【摘要】：1998年3月,中国第一批证券投资基金（基金开元和基金金泰）发起设立。此后，我国的证券投资基金业得到了迅猛增长。证券投资基金绩效评价的研究对于改善我国证券市场结构、提高证券市场效率、推动证券市场的健康发展等方面具有重要意义。本文分以下几个部分：第一，主要介绍了本论题的研究背景、选题意义、国内外研究综述等内容。第二，对当前基金绩效评价的几个主流模型进行了概述，如夏普指数、特雷诺指数、詹森指数等，并比较它们的异同；第三，主要是牛市行情下股票型基金的绩效分析。为了增加绩效评价的客观性，选取了2007前成立并一直存续的的上市股票型基金数据，计算它们的相关绩效指标，分析其变化趋势和原因；最后对绩效指标分解成基金公司的择时能力、选股能力等指标，进行比较深入具体的分析。第四和第五部分分别是熊市行情和盘整行情下的股票型基金的绩效分析，其分析思路和第三部分相同，只不过是选取的样本区间不同。第六，根据选定的基金绩效的评价基准，对样本基金的绩效进行分析，此后进行了小结。简单地说，本文实现了以下两个方面进行创新：一是全面评价。现有文献在评价基金绩效时，往往采用某个阶段的行情数据，或者牛市行情，或者熊市行情或者盘整行情，本文为了比较全面的评价基金的绩效，不仅截取牛市行情的数据，还采用熊市行情和盘整行情的数据，，这种分析得出了更加具体的结论。二是因素分析。现有文献在分析或评价基金绩效时，往往采用通过样本数据做计量分析，但这里的被解释变量的基金绩效是一个整体绩效。本文在通过相关指标评价绩效之后，还通过把它们分解成基金的选股绩效和择时绩效，从而使得对基金绩效的分析更深一步。
[Abstract]:In March 1998, the first batch of Chinese securities investment funds (fund Kaiyuan and fund Jintai) was established. The research on performance evaluation of securities investment funds has improved the structure and efficiency of securities market in China. It is of great significance to promote the healthy development of the securities market. This paper is divided into the following parts: first, mainly introduced the research background of this topic, the significance of the topic, domestic and foreign research overview. Second, the current performance evaluation of several mainstream models were summarized. Such as Sharp index, Traineau index, Jensen index and so on, and compare their similarities and differences; In order to increase the objectivity of performance evaluation, the data of listed equity funds, which were established before 2007, have been selected. Calculate their related performance indicators and analyze their changing trends and causes; Finally, the performance indicators are decomposed into the timing ability of the fund company, stock selection ability and other indicators. More in-depth and specific analysis. 4th and 5th are bear market market and consolidation of the stock fund performance analysis, its analysis ideas and the third part of the same. Only the sample interval is different. 6th, according to the selected evaluation criteria of fund performance, the performance of the sample fund is analyzed, followed by a summary. In short, this paper realizes the following two aspects of innovation: first, comprehensive evaluation. The existing literature in the evaluation of fund performance, often use a certain stage of market data, or bull market. Or bear market or consolidation market, in order to evaluate the performance of the fund in a more comprehensive way, not only intercept the data of bull market, but also use the data of bear market and consolidation market. This analysis draws a more specific conclusion. Second, factor analysis. Existing literature in the analysis or evaluation of fund performance, often through sample data for econometric analysis. However, the performance of the explained variable is a whole performance. After evaluating the performance through the relevant indicators, this paper also decomposes them into the stock selection performance and timing performance of the fund. Thus make the analysis of fund performance a deeper step.
【学位授予单位】：中原工学院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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