中国封闭式证券投资基金业绩评价研究

发布时间：2018-01-17 17:33

本文关键词：中国封闭式证券投资基金业绩评价研究　出处：《天津商业大学》2013年硕士论文　论文类型：学位论文

【摘要】：在中国证券投资基金业发展的15年历程中，在国家管理层的扶持和规范下，基金规模不断壮大，品种不断创新，法律法规逐渐健全，社保基金、保险资金、企业年金等机构投资者和散户投资者市场快速成长，中国基金业得到了迅猛的发展。而如何借鉴国外的基金业绩评价体系对我国证券投资基金业绩进行全面客观的评价，已经受到各方的关注。现在国内关于基金业绩评价的研究还存在诸多不足之处，滞后的理论研究与现实中对于基金业绩评价的需求不相平衡，所以对基金业绩进行评价的研究是十分必要的。论文主要在借鉴西方国家先进的基金业绩评价理论的基础上，主要从实证的视角对我国基金业绩评价体系进行了研究。众所周知证券投资基金的收益率水平差别较大，如何在众多基金产品中选择适合自己的品种，，如何在众多基金公司中选择优秀的理财专家值得我们深入的思考。论文首先提出了研究背景和意义，对基金的发展历程、基本情况、评价意义作了简要介绍；然后对国内外证券投资基金业绩评价的理论和实证研究结果进行了文献综述；接着介绍了证券投资基金的内涵和作用、证券投资基金业绩评价的理论基础、目前我国封闭式基金的概况以及我国封闭式基金业绩评价存在的障碍和问题；之后介绍了基金业绩评价的研究方法，主要有相关性与平稳性研究方法、引导与冲击响应研究方法、总体绩效指数评价法（包括夏普指数、詹森指数、特雷诺指数）、T-M模型和FF因子分析模型等；实证分析时，结合我国证券投资基金市场的特点，选取了我国上海证券交易所的11只封闭式基金,具体为基金安顺（AS）、基金安信（AX）、基金汉盛（HS）、基金汉兴（HX）、基金金鑫（JX）、基金科瑞（KR）、基金泰和（TH）、基金通乾（TQ）、基金兴和（XH）、基金银丰（YF）和基金裕阳（YY）。所选取的样本区间为2010年1月至2012年12月，以11只基金的周收盘价数据为研究目标，每只基金获得152个周收盘价时间序列样本数。由于基金主要投资于沪深股票市场，所以采用沪深300指数的周收盘价时间序列数据作为反映市场运行状况的指标。市场无风险利率采用市场基准利率数据代替，并将年利率转换为日利率。实证分析结果表明：基金的价格收益率波动大约维持在±4%左右，样本基金的运行绩效都超过了无风险利率的水平，部分样本基金的投资绩效具有明显的规模效应，大部分基金在投资过程中的选股能力尚显不足，基金管理人在某种程度上也缺乏较好的择时能力，尤其是非线性的把握时机的能力尚有待提高。此外，论文还对影响我国基金业绩的因素进行了分析，提出一些可行性建议：规范证券市场，优化证券基金市场结构，加强市场监管，深化基金业绩评价体系和机构的改革等。
[Abstract]:In the development of Chinese securities investment fund industry for 15 years, in the national management support and norms, the fund size has grown varieties of continuous innovation, and gradually improve laws and regulations, social security funds, insurance funds, corporate pension and other institutional investors and retail investors, rapid growth, Chinese fund industry has been rapid development and how to draw lessons from the foreign fund performance evaluation system for comprehensive evaluation of the performance of the securities investment fund in China, has been concerned. Now the domestic research on the performance evaluation of funds still exist many deficiencies, theoretical research and practical lag in fund performance evaluation is the demand of phase equilibrium, so for the study to evaluate the performance of the fund is very necessary. This paper on the basis of the experience of advanced western countries fund performance evaluation theory, mainly from the empirical perspective The Chinese fund performance evaluation system is studied. As everyone knows the securities investment fund yields vary greatly, how to choose their own suitable varieties in many fund products, how many fund companies choose the outstanding financial experts are worthy of our deep thinking.
This paper put forward the research background and significance, the development history of the fund, the basic situation, the significance of evaluation are briefly introduced; then on the domestic and foreign securities investment fund performance evaluation theory and empirical research results were reviewed; then introduces the connotation and function of securities investment fund, the theoretical basis of stock investment fund performance evaluation at present, China's closed end fund and the existence of the fund performance evaluation in China closed obstacles and problems; then introduces the research methods of fund performance evaluation, mainly associated with the stability of the research methods, research methods to guide the response and impact the overall performance evaluation index method (including SHARP index, Jansen index, Toreno T-M model and FF index), factor analysis model; empirical analysis, combining the characteristics of China's securities investment fund market, selected the China Shanghai Stock Exchange The 11 closed-end funds, specifically for the foundation of Anshun (AS), Anxin Fund (AX), the fund Hansheng (HS), (HX), the fund Hanxing Jin Xin Fund (JX) fund, Corey (KR), Taihe (TH), (TQ), Tongqian fund fund Xinghe (XH), Yinfeng Fund (YF) and Yuyang Fund (YY). The sample interval is from January 2010 to December 2012, to fund 11 week closing price data as the research object, each fund received 152 week closing price time series sample number. The fund invests primarily in the Shanghai and Shenzhen stock market, closing price time series data so the Shanghai and Shenzhen 300 index as the week reflects the operating situation of market index. The market risk-free interest rate by market benchmark interest rate data instead, and the annual interest rate is converted to daily rates.
The empirical results show that fund price volatility remained at approximately + 4% or so, the operation performance of the sample funds have exceeded the level of the risk-free rate, and has obvious scale effect part of the sample fund investment performance, most of the fund stock selection in the process of investment is insufficient, the fund manager is also a lack of good the alternative to a certain extent when ability, especially the ability to grasp the opportunity of the nonlinear still need to be improved. In addition, the paper also analyzed the influencing factors of fund performance in China, puts forward some feasible suggestions: regulation of the securities market, optimize the market structure of the securities fund, strengthen market supervision, deepen the fund performance evaluation system and mechanism the reform.

【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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