我国QDII基金投资集中程度对其业绩影响的实证研究

发布时间：2018-05-29 18:38

本文选题：QDII基金 + 基金业绩　；参考：《上海外国语大学》2017年硕士论文

【摘要】：首先,本文从收益和风险这两个方面对QDII基金业绩进行评价。对基金收益评价的主要指标有基金的单位净值收益率、年化收益率、几何平均收益率等;风险角度进行评价的指标主要是基金收益率标准差。同时,运用夏普指数、特雷诺指数、詹森指数这三大经典的基金业绩评价指数来衡量基金的风险调整收益。本文在第四章提出了这三大指数的计算方法和定义,并在第五章详细列出和分析了QDII基金三大指数的排序情况。分析发现,三大指数给出的排序结果存在排序混乱问题,从而不利于投资者的投资决策,因此本文运用因子分析法来构建一个综合变量对基金进行排序。因子分析方法将之前的众多基金业绩指标具有的两个共同因子提取出来,综合成一个综合得分变量,进而各基金业绩排名清晰了然,便于基金投资者的投资决策。其次,根据业绩评价的实证结果可以发现:获取相同收益的情况下,有的基金承担的风险较高,而有的基金承担的风险却较低;承担同样的风险,有的基金能够取得高收益,而有的基金收益率却不尽人意,导致最终的基金业绩和综合排名有较大差距。同样是投资海外市场的QDII股票型基金,为何各自的业绩表现会出现这样大的差距?针对这个问题,本文将基于马科维茨的现代资产组合理论和APT理论,并考虑其他诸多学者的研究结论,来考察投资集中度对QDII基金业绩的影响情况。面板回归模型实证结果表明,区域集中度和行业集中度会对我国的QDII基金业绩产生显著的正向影响,这与国外诸多学者的研究结论不谋而合。根据控制变量的影响效果来看,基金存续期的影响方向与影响假设相一致,并且基金规模也对收益产生显著的正向作用。最后,本文根据实证结果和我国QDII基金投资现状提出了措施和建议,以期我国的QDII基金能够在未来可以发展的更好,为投资者创造更好的投资效益。
[Abstract]:Firstly, this paper evaluates the performance of QDII fund from two aspects: income and risk. The main indicators of fund income evaluation are the net return per unit of the fund, the annual rate of return, the geometric average rate of return and so on, while the index of risk evaluation is the standard deviation of the return rate of the fund. At the same time, we use Sharp Index, Traineau Index and Jensen Index to measure the risk-adjusted return of the fund. In the fourth chapter, we put forward the calculation method and definition of the three indices, and in the fifth chapter, we list and analyze the ranking of the three indexes of QDII fund in detail. It is found that the ranking results given by the three indices are chaotic, which is not conducive to the investment decision of investors. Therefore, this paper uses factor analysis to construct a comprehensive variable to sort the fund. The method of factor analysis extracts two common factors from previous fund performance indexes, and synthesizes them into a comprehensive score variable, and then the ranking of fund performance is clear and clear, which is convenient for fund investors to make investment decisions. Secondly, according to the empirical results of performance evaluation, we can find that some funds bear a higher risk, while some funds bear a lower risk under the same income, and some funds can obtain high returns if they bear the same risk. But some fund returns are unsatisfactory, leading to the final fund performance and comprehensive ranking has a large gap. QDII equity funds, which also invest in overseas markets, why do they have such a big gap in their performance? In order to solve this problem, this paper will investigate the influence of investment concentration on the performance of QDII funds based on Markowitz's modern portfolio theory and APT theory, and consider the research conclusions of many other scholars. The empirical results of panel regression model show that regional concentration and industry concentration will have a significant positive impact on the performance of QDII funds in China, which coincides with the research conclusions of many foreign scholars. According to the effect of the control variable, the influence direction of the fund life is consistent with the influence hypothesis, and the size of the fund has a significant positive effect on the income. Finally, based on the empirical results and the present situation of QDII fund investment in China, this paper puts forward some measures and suggestions, in the hope that our country's QDII fund can develop better in the future and create better investment benefit for investors.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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