我国LOF基金业绩评价的实证研究

发布时间：2018-01-22 05:02

本文关键词： LOF基金业绩评价数据包络分析　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：改革开放以后,随着国内经济的快速发展,我国证券市场得以持续发展,市场机制日益完善,有效的推动了基金业的迅猛成长。而在基金业的两种投资类型中,开放式基金相对于封闭式基金更有优势,如它很好的克服了封闭式基金交易价格与基金净值相背离的缺陷,以致在基金市场的发展过程中,其规模以及品种数量都远远超过了封闭式证券投资基金,越来越成为主流基金品种。当前形势下,开放式基金的业绩即基金的相对收益也就成为了投资者更为关心的问题。因此如何能够全面、科学地评价开放式基金的业绩,对于基金投资者、基金管理者、乃至基金业的发展都具有重要意义。本文总结了国内外传统基金评价方法存在的一些不足,通过运用不同的基金业绩评价方法比较与分析,然后引入数据包络分析(DEA)综合评价方法并进行了实证分析。由于运用DEA方法评价基金的业绩,可以克服选择不同基准组合带来不同结果的缺陷,并且还可以分析不同因素对评价结果的影响程度。通过对基金业绩的有效性进行排序,并对无效基金进行差额变数分析,找出各无效基金改进的途径,使其达到相对有效。本文选取了24只在2007年11月22日前上市的LOF基金进行了实证研究,研究结果表明：只有8只基金达到相对有效,整体基金的效率不高,造成基金业绩无效的原因主要来自于规模效率不佳,其中有15只基金处于规模报酬递减状态,表明基金现有的经营规模过大,必须通过缩减经营规模才能达到最佳规模。其次从基金投入产出指标的松弛变量上看,影响基金效率的主要指标是非系统风险分散能力过低,在四个指标中,非系统风险需要改进程度最大。然后通过DEA方法与传统基金业绩评价对比分析得出,不同评价方法得出的结果存在着很大的差异,主要是因为基于传统业绩评价只考虑了风险调整的业绩,而没有考虑基金的运营状况以及非系统风险,但是总体上排名还是基本一致的。
[Abstract]:After the reform and opening up, with the rapid development of the domestic economy, the securities market of our country has been developing continuously, and the market mechanism has become more and more perfect, which has effectively promoted the rapid growth of the fund industry, and in the two types of investment in the fund industry. Compared with closed-end funds, open-end funds have more advantages, such as it overcomes the defect that the price of closed-end funds deviates from the net value of funds, which leads to the development of the fund market. Its size and variety number are far more than the closed-end securities investment funds, more and more become the mainstream fund varieties. Under the current situation. The performance of open-end funds, that is, the relative returns of funds, has become a more concerned issue for investors. Therefore, how to comprehensively and scientifically evaluate the performance of open-end funds, for fund investors, fund managers. Even the development of the fund industry is of great significance. This paper summarizes the shortcomings of traditional fund evaluation methods at home and abroad, through the use of different fund performance evaluation methods to compare and analyze. Then the data Envelopment Analysis (DEAA) comprehensive evaluation method is introduced and the empirical analysis is carried out. Because of the use of DEA method to evaluate the performance of the fund, we can overcome the defects of choosing different benchmark combinations to bring different results. And we can also analyze the impact of different factors on the evaluation results. By ranking the effectiveness of the fund performance and analyzing the difference variables of the invalid fund, we can find out the ways to improve the invalid fund. In this paper, 24 LOF funds listed before November 22nd 2007 are selected for empirical research. The results show that only 8 funds are relatively effective. The efficiency of the whole fund is not high, the reason that the fund performance is invalid mainly comes from the scale efficiency. Among them, 15 funds are in the state of diminishing returns of scale, which indicates that the existing scale of the fund is too large. In order to achieve the best scale, we must reduce the scale of operation. Secondly, from the relaxed variables of the fund input-output index, the main index that affects the efficiency of the fund is too low in non-systematic risk dispersion ability, in the four indicators. Non-system risk needs to be improved the most. Then through the DEA method and the traditional fund performance evaluation comparative analysis, the results of different evaluation methods are very different. The main reason is that the traditional performance evaluation only considers the performance of risk adjustment, but does not consider the performance of the fund and non-system risk, but the overall ranking is basically the same.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】