不同投资风格的基金业绩持续性的实证研究与比较

发布时间：2018-05-10 15:37

本文选题：基金业绩 + 绝对持续性　；参考：《安徽财经大学》2014年硕士论文

【摘要】：基金业绩的持续性反映的是这样一种现象：市场中前期表现较好的基金倾向于在下一期保持优秀,而前期表现不好的基金则难以在下一期提升业绩。基金的投资风格不同,导致基金的资产配置组合的策略不同,对基金业绩的持续性会产生一定的影响。本文以此为切入点,通过选择累计净值增长率和夏普指数收益率两个评价指标对三种不同投资风格基金的业绩持续性进行了比较研究。文章首先对于基金业绩研究的相关背景做了介绍,通过梳理国内外相关文献中的研究方法,最终确定了本文采用的评价指标和检验方法。在实证研究中,依据晨星公司对基金投资风格的分类,将样本基金分为平衡型基金、成长型基金和价值型基金三类,进行业绩持续性的比较。实证的第一部分检验的是三种投资风格基金业绩的绝对持续性,采用横截面检验法,得出平衡型基金的业绩持续性最优,其次为成长型基金,价值型基金业绩的持续性最差。实证的第二部分检验的是三种投资风格基金业绩的相对持续性,采用的是列联表检验法和Kendall协同系数检验法,选择了季度数据和半年度数据进行实证检验和比较,综合两种方法的实证结果,平衡型基金的业绩持续性在两个时间段都显著存在,表现最为优秀,而价值型基金和成长型基金未能表现出显著的持续性,但通过比较发现,这两类基金在半年度时间段的业绩持续性表现优于季度时间段。
[Abstract]:The persistence of fund performance reflects the phenomenon that funds with better performance in the market tend to remain excellent in the next period, while funds that do not perform well in the early period will find it difficult to improve their performance in the next period. The different investment styles of the fund lead to the different strategies of the fund's asset allocation portfolio, which will have a certain impact on the sustainability of the fund's performance. This paper makes a comparative study on the performance sustainability of three different investment style funds by selecting the cumulative net worth growth rate and Sharpe index return rate as the starting point. The paper first introduces the relevant background of fund performance research, through combing the research methods in the relevant literature at home and abroad, finally determines the evaluation index and test method adopted in this paper. In the empirical study, according to the classification of the investment style of Morningstar, the sample funds are divided into three categories: balanced fund, growth fund and value fund. The first part of the empirical test is the absolute sustainability of the performance of the three types of investment funds. Using cross-section test method, the performance sustainability of the balanced fund is the best, followed by the growth fund, and the performance of the value fund is the worst. The second part of the empirical test is about the relative sustainability of fund performance of three investment styles, using the column table test method and Kendall synergy coefficient test method, choosing quarterly data and semi-annual data for empirical test and comparison. Combined with the empirical results of the two methods, the performance persistence of balanced fund exists significantly in both periods, and the performance is the best, while the value fund and the growth fund fail to show significant persistence, but through comparison, it is found that, These two types of funds in the half-year period of performance sustainability performance better than the quarter-time period.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

【参考文献】