券商集合资产管理计划综合绩效评价

发布时间：2018-05-12 10:44

本文选题：集合资产管理计划 + 绩效评价体系　；参考：《浙江工商大学》2014年硕士论文

【摘要】：自2005年光大证券发行第一只集合理财产品“光大阳光集合理财产品”以来,券商集合理财业务重新开闸。集合资产管理计划由于其专业理财、风险分散、投资范围广以及投资比例灵活等一系列优点迅速获得投资者认可,成为理财产品市场上一股不可忽视的力量,其规模已经从2005年的139.52亿发展到目前的5300多亿。随着产品数量和规模不断膨胀,监管部门、相关金融机构及投资者越来越重视集合资产管理计划绩效的评估。对其进行全面、科学的评估会促进行业的健康发展,然而,目前我国集合资产管理计划绩效评估体系的研究尚处在起步阶段,远末形成完整和权威的系统,因此,如何建立一个科学的、有效的评价体系有待于进一步深入和拓展。本文旨在深入了解券商集合资产管理计划的发展现状基础上,建立一个集合资产管理计划绩效评估体系,对目前市场上的部分产品进行实证研究,得出相应的结论和政策建议。全文共分为6个部分：第一部分,说明本文的选题背景及意义、研究思路及框架安排,并给出本文的创新点及不足之处；第二部分,文献综述,该部分主要包括集合资产管理计划研究现状、基金业绩评价相关理论、国内外基金业绩评价研究方法及研究现状这三个部分；第三部分,集合理财产品的概述及发展现状。该部分主要包括集合理财产品概述(包括概念、类型以及特征)、开展的三个方面背景以及统计分析其目前的发展现状；第四部分,基于主成分分析的集合资产管理计划绩效评估体系构建。该部分主要可分为基金绩效评估体系研究现状梳理、评价体系构建原则、评估体系的构建以及对本文选取的综合评判方法主成分分析进行介绍；第五部分,绩效评估体系实证研究,这部分为本文的主体部分,以2010年9月1日至2013年8月31日为样本期,通过综合运用Eviews及Excel软件得到评估体系中34只样本产品的23个指标值(主要为净值增长率指标、风险指标、三大经典指标、M2、信息比率、单因素模型、三因素模型、投资结构及费率指标),最后用通过主成分分析得出绩效评价最终结果；第六部分,主要结论及政策建议。这部分主要给出本文的几点结论及政策建议。通过本文的分析,得到如下几点结论：第一,集合资产管理计划具有良好的发展态势,未来发展前景可观。第二,大部分产品业绩并未超越基准组合,产品投资经理具有一定的风险分散能力。除了个别产品外,未有足够证据表明投资经理具备专业投资理财的优势。第三,从择股择时分析可知,大部分投资经理具备一定的选股能力,但不突出,只有少数具备显著的选股能力；大部分投资经理不具备显著的择时能力,少数具备一定的择时能力。第四,我国集合资产管理计划偏向投资小盘股和价值型股票。第五,没有足够的证据表明我国集合资产管理计划业绩具有持续性。第六,样本中排名前五的产品为：东方红4号,东方红5号,东方红先锋1号,上海证券理财1号及兴业金麒麟2号；排名后5位的产品有：银河金星1号,华泰紫金3号,中信稳健回报,东吴财富1号及东莞旗峰2号。与以往研究相比,本文创新之处在于：第一,少有文献对集合资产管理计划开展背景(特别是法律法规变更)以及其研究现状进行总结。第二,国内目前尚无专门针对集合资产管理计划绩效评估体系进行研究的文献,本文在借鉴目前已有的基金评价体系研究基础上,致力于构建集合资产管理计划绩效评价体系并进行实证研究；第三,在实证研究样本及样本期上,由于集合资产管理计划开展较晚而且近几年才得到快速发展,目前已有文献对集合资产管理计划业绩方面研究样本量少而且样本期短,本文扩充了样本量以及延长样本期,力求研究内容更为丰富和科学,实证结果更为可靠。
[Abstract]:Since 2005 Everbright Securities issued the first collection of financial products, "Guangda sun set financial products", securities dealers have re opened their financial services. The collective asset management plan has been recognized by investors as a financial product because of its professional financial management, decentralization of risk, wide range of investment and flexible investment ratio. In the market, a force that can not be ignored has developed from 13 billion 952 million in 2005 to about 530000000000. As the quantity and scale of the product is expanding, the supervision department, related financial institutions and investors are paying more and more attention to the evaluation of the performance of the integrated asset management program. However, at present, the research on the performance evaluation system of collective asset management plan in China is still in its infancy, and a complete and authoritative system is formed at the end of the year. Therefore, how to establish a scientific and effective evaluation system needs to be further developed and expanded.
On the basis of in-depth understanding of the development status of collective asset management plan of securities dealers, this paper establishes a performance evaluation system of collective asset management plan, and makes an empirical study on some products on the market, and draws the corresponding conclusions and policy suggestions. The full text is divided into 6 parts: the first part, the background and meaning of this article is explained. Meaning, research ideas and framework arrangements, and give the innovation and shortcomings of this article; the second part, literature review, this part mainly includes the research status of the collective asset management plan, the related theory of fund performance evaluation, the research methods of performance evaluation of domestic and foreign funds and the three parts of the research status; the third part, the collection of financial products. This part mainly includes the overview of the collection of financial products (including the concept, type and characteristics), the three aspects of the background and the current status of its development; the fourth part, based on the principal component analysis of the performance evaluation system of the collective asset management plan. This part is mainly divided into the performance evaluation of the fund. The research status of the evaluation system, the principle of evaluation system construction, the construction of evaluation system and the principal component analysis of the comprehensive evaluation method selected in this paper; the fifth part, the empirical study of the performance evaluation system, this part is the main part of this paper, from September 1, 2010 to August 31, 2013 as the sample period, through the comprehensive application of Eviews And Excel software obtained the 23 index values of 34 sample products in the evaluation system (mainly net value growth index, risk index, three classic index, M2, information ratio, single factor model, three factor model, investment structure and rate index). Finally, the final results are obtained by the principal component analysis; the sixth part is the main conclusion. And the policy recommendations. This part mainly gives some conclusions and policy recommendations.
Through the analysis of this paper, we get the following conclusions: first, the collective asset management plan has a good development trend, and the future development prospects are considerable. Second, most of the product performance does not exceed the benchmark portfolio, the product investment manager has a certain risk dispersal ability. Apart from some products, there is no sufficient evidence to show that the investment manager has a good performance. Third, from the choice of timing analysis, we know that most investment managers have a certain stock selection ability, but only a few have significant stock selection ability; most of the investment managers do not have significant timing ability and a few have certain timing ability. Fourth, our country's collective asset management plan is biased. Investment small shares and value type stocks. Fifth, there is not enough evidence to show that the performance of China's collective asset management program is persistent. Sixth, the top five products in the sample are Dongfang red 4, Dongfang red 5, Dongfang Xianfeng 1, Shanghai securities finance 1 and Xingye kylin 2; the top 5 products are: Galaxy Venus 1 No. 6, Huatai Zijin 3, CITIC returns steadily, Soochow fortune 1 and Dongguan Qifeng 2.
Compared with previous research, the innovation of this paper is: first, there are few literature on the background of the management plan of collective assets management (especially the change of laws and regulations) and its current research status. Second, there is no literature on the performance evaluation system of collective asset management in China at present. On the basis of the research of the fund evaluation system, we are committed to the construction of the performance evaluation system of collective assets management plan and carry out empirical research. Third, in the sample and sample period of empirical research, the collection asset management plan has been developed late and has developed rapidly in recent years. At present, there has been some literature on the performance of collective asset management plans. The sample size is short and the sample period is short. This paper expands the sample size and extends the sample period, so as to make the research richer and scientific, and the empirical results are more reliable.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】