关于基金业绩评价的量化模型研究

发布时间：2018-03-07 12:12

本文选题：基金评价　切入点：特定信息集　出处：《南京理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：至今基金业已取得了迅猛的发展,但是在发展的同时也引起了各方的关注。投资者如何才能在众多的基金中选择自己想要的基金,持有基金投资是否能够获得持续的超额收益,基金经理是否具备专家风范,基金公司应如何合理评价基金经理的业绩表现等,这些仍然是我们不懈探求的问题。对投资基金做出科学合理的业绩评价显得越来越重要。本文主要应用条件信息的Jensen模型,根据不同市场行情下的特定信息变量对市场影响不同,选取各时期市场的特定信息集来考察基金经理的选股能力。同无条件信息Jensen模型相比,此模型更具有解释力。在运用条件信息Jensen模型的基础上又深入考察了基金经理的条件信息收益择时和波动择时能力,实证发现：2006.6-2008.10大部分基金经理表现出了收益择时能力和选股能力,而2008.10-2009.8仅有少部分基金经理表现出收益择时和选股能力。这可能归结为股市在经历了股份制改造、大小非解禁以及金融危机等一系列事件后,市场的有效性得以加强,透明度更高等方面的原因。同时,实证得到：这两个牛熊市下的基金经理都显著表现出了波动择时能力；同择时能力相比,择股能力更能影响基金业绩的变化。为此,本文进一步运用Block-Bootstrap方法分别对不同风格基金,同一单边牛熊市下基金经理的择股能力究竟是来源于自身投资才能还是其他因素进行了相关分析,实证发现：基金经理在风格方面不具有持续的真实择股能力；在经历牛市下的基金经理更具有择股能力,但其能力的体现更易受运气影响。
[Abstract]:So far, the fund industry has made a rapid development, but at the same time, it has attracted attention from all sides. How can investors choose the funds they want in a large number of funds, and whether holding funds can achieve sustained excess returns. Whether the fund manager has the expert style and how the fund company should evaluate the performance of the fund manager is still the question that we unremittingly seek. It is more and more important to make scientific and reasonable appraisal of the performance of the investment fund. This paper mainly applies the Jensen model of conditional information, according to the specific information variables under different market prices, the impact on the market is different. The specific information set of each period market is selected to investigate the fund manager's stock selection ability. Compared with the unconditional information Jensen model, This model is more explanatory. On the basis of the conditional information Jensen model, the paper makes a thorough study of the fund managers' ability of timing and volatility timing of conditional information. The empirical results show that most of the fund managers showed the ability of timing and stock selection, while only a small number of managers showed the ability of timing and stock selection in 2008.10-2009.8, which may be attributed to the stock market undergoing a share-holding system transformation. After a series of events, such as large and small non-lifting ban and financial crisis, the efficiency of the market is strengthened and the transparency is higher. At the same time, the empirical results show that the fund managers in these two bull and bear markets have obviously displayed the ability of timing volatility; Compared with the timing ability, the stock selection ability can affect the performance of the fund more. Therefore, this paper further uses the Block-Bootstrap method to analyze the different styles of funds. The paper analyzes whether the fund manager's stock selection ability comes from his own investment ability or other factors under the same unilateral bull bear market. The empirical results show that the fund manager does not have the sustained real stock selection ability in the aspect of style; Fund managers who experience a bull market are more likely to choose stocks, but their ability is more susceptible to luck.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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