我国开放式股票型基金投资风格漂移及其对绩效影响研究

发布时间：2018-01-03 22:15

本文关键词：我国开放式股票型基金投资风格漂移及其对绩效影响研究　出处：《重庆大学》2016年硕士论文　论文类型：学位论文

【摘要】：随着近些年来我国实体经济的大幅提升,国民生活水平的提高,国人积累了一定的财富,人民需要对自己的财富进行科学有效地管理以达到保值增值的目的。借助于资本市场达到财富保值增值无疑是一个方便快捷有效的途径,这种情况下,人们对投资工具和理财产品的需要显得非常迫切,为了迎合和满足广大投资者的投资需求,资本市场上出现了各种各样的金融理财产品;基于此,我国公募基金管理公司顺势而为,抓住市场契机,相继推出了大量的基金产品,开放式基金数量的增加非常迅猛。基金管理公司数量和基金总规模每年都成倍增长。相应地对基金投资风格研究也越来越多,对开放式基金投资风格进行系统研究具有很强的现实意义。本文笔者正是在这种市场背景下研究本课题。首先,简要概述我国基金业近10年的发展现状;比较模型后,确定本文以收益率方法来识别风格漂移,在借鉴前人研究结果上取长补短,建立了本文的模型。本文选取资本市场上20只开放式股票型基金,为了使研究课题更具对比性,研究区间分为熊市和牛市两个时期,对两个研究区间进行模型回归,研究发现绝大多数基金无论在熊市时期和牛市时期实际投资风格中均出现了“投资风格漂移”现象,并具有趋同性,熊市时期倾向于价值型风格漂移,牛市时期倾向于成长型风格漂移。再用三大评价方法对基金绩效进行评价。研究发现,基金绩效优于市场指数绩效。再以易方达消费这只基金为例进行案例分析。最后,得出本文的结论并给出个人建议。本文的研究价值在于,通过模型回归识别出了我国大多数开放式股票型基金在投资过程中的确存在投资风格漂移这一现象;短期内,风格漂移可提升基金收益,长期来看,风格漂移却降低了基金的绩效。并且准确指出风格漂移对投资者、基金管理公司、监管部门都造成了严重的负面影响。研究结论对学术界、业界、投资者都具有重要的实际参考价值。
[Abstract]:With the substantial improvement of the real economy and the improvement of the national living standard in recent years, the Chinese have accumulated certain wealth. People need to manage their wealth scientifically and effectively to achieve the purpose of maintaining and increasing the value of wealth. It is undoubtedly a convenient and efficient way to achieve wealth preservation and appreciation by means of the capital market, in this case. The need for investment tools and financial products is very urgent. In order to meet the investment needs of the majority of investors, a variety of financial products have appeared in the capital market. Based on this, China's public offering fund management companies comply with the trend, seize the opportunity of the market, have launched a large number of fund products. The number of open-end funds is increasing rapidly. The number of fund management companies and the total size of funds are increasing exponentially every year. Accordingly, there are more and more researches on the investment style of funds. It is of great practical significance to systematically study the investment style of open-end funds. It is under this market background that the author studies this subject. Firstly, the development of fund industry in China in the past 10 years is briefly summarized. After comparing the model, it is determined that this paper uses the yield method to identify the style drift, and builds the model of this paper by drawing on the previous research results. This paper selects 20 open-end equity funds in the capital market. In order to make the research subject more comparative, the research interval is divided into two periods: bear market and bull market. The study found that most of the funds in the bear market period and the bull period of the actual investment style have appeared in the "investment style drift" phenomenon, and have a convergence, bear market period tend to drift in the value style. The bull market tends to drift the growth style. Then three evaluation methods are used to evaluate the performance of the fund. Fund performance is better than market index performance. Then take the case study of Effanda consumption fund as an example. Finally, draw the conclusion of this paper and give personal advice. The research value of this paper lies in. Through the model regression, the author identifies that most open-end equity funds in China do have the phenomenon of investment style drift in the process of investment. In the short term, style drift can improve the fund income, in the long run, style drift reduces the performance of the fund, and accurately points out the style drift to investors, fund management companies. The conclusion of the research has important practical reference value to academia, industry and investors.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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