中国开放式股票型基金业绩评级的实证研究

发布时间：2018-01-19 07:23

本文关键词： 基金评级实证研究因子分析聚类分析　出处：《福建师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：自20世纪90年代以来,中国证券投资基金蓬勃发展.如何从多支基金中选择业绩较好的基金给予投资已成为国内学者和投资者所关心的事情,因此,对中国基金进行业绩评级是十分必要的. 目前流行的九个基金业绩评价指标包括基金的简单净值收益率均值、简单净值收益率方差、估值比率、β系数、Treynor指数、Sharp比率、Jensen指数、择股能力和择时能力.本文根据和讯基金网所收集的数据及上述九个指标计算的数据用SPSS16.0软件进行统计分析.通过因子分析方法对九个因子进行降维,依据计算出的因子得分,对67支股票型开放式基金进行评级并予以排序,并通过聚类分析,将业绩表现相似的基金归类. 通过分析,业绩较好的有：工银瑞信核心价值基金、招商安泰基金、富兰克林国海弹性基金.结果表明因子分析的排名结果和各个单一指标的结果排名有较大差别,说明了使用单一指标所得到的基金评级结果比较片面,而运用因子分析能综合地评价基金业绩. 聚类分析法将工银瑞信核心价值基金、招商安泰基金、宝康消费品基金这三支基金分别归成一类,其余64支基金归为一类.聚类分析进一步说明了因子分析对于基金业绩评价的有效性.
[Abstract]:Since 1990s, China's securities investment funds have been booming. How to choose better performance funds from many funds to invest has become a matter of concern to domestic scholars and investors. It is necessary to rate the performance of Chinese funds. At present, nine popular fund performance evaluation indicators include the average of the simple net worth return, the variance of the simple net worth, the valuation ratio, the 尾 coefficient of Treynor index and the sharp ratio. Jensen index. According to the data collected by the network of Hutchison Fund and the data calculated by the above nine indexes, this paper makes statistical analysis with SPSS16.0 software. The nine factors are analyzed by the method of factor analysis. Dimension reduction. According to the calculated factor scores, 67 open-end funds are rated and ranked, and the funds with similar performance are classified by cluster analysis. Through analysis, the better performance are: bank of Credit Suisse core value fund, Merchants Antai Fund. The results show that the ranking results of factor analysis and the results of each single index are quite different, which shows that the results obtained by using a single index are relatively one-sided. The use of factor analysis can comprehensively evaluate the performance of the Fund. Cluster analysis will be the core value of the Bank of Credit Suisse Fund, Merchants Antai Fund, Baokang Consumer goods Fund these three funds are grouped into one category. The other 64 funds fall into one category. Cluster analysis further demonstrates the effectiveness of factor analysis for fund performance evaluation.
【学位授予单位】：福建师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】