阳光私募业绩评价体系研究

发布时间：2018-02-13 02:28

本文关键词： 阳光私募基金业绩评价体系　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国金融市场从改革开放以来，三十余年间迎来了快速发展。阳光私募基金作为我国资本市场一股重要的力量，也伴随着我国经济的飞速发展迎来了自己的急速扩张，，特别是从2007年初的大牛市以来，阳光私募基金不断壮大。最近几年，阳光私募基金在我国的高速发展的同时，其投资业绩回报也获得了广大投资者的认可，其不但增加了了投资者在市场上可以投资的方式,强大的生命力也显示了我国金融市场生生不息的活力。随着阳光私募基金品种数量的增加，其业绩的表现也就成为投资者关心的问题，如何来评价基金的业绩以及评价体系的建立也变得越发的重要。在此基础上，本文希望可以在国内外金融理论研究的基础上，构建出我国阳光私募基金业的研究评价体系，本文从实例出发，截取国内阳光私募基金产品一年期至四年期数据，着重使用夏普比率、收益率及下行风险的组合来评价具有稳定性及收益性相结合的阳光私募基金产品。同时使用T-M，H-M，C-L模型来对所挑选出的基金进行相关验证，着重评价阳光私募基金经理的选股能力指数与择时能力指数。本文数据经过详细的搜集与处理，均在评价体系内部进行了检验，体现了研究思路的完备性与前后研究思路的一致性，在这样的研究基础上，进行的业绩评价的适用会更具连贯性与全面性。
[Abstract]:Since the reform and opening up to the outside world, the financial market of our country has experienced rapid development in more than 30 years. As an important force in the capital market of our country, the sunshine private equity fund has ushered in its own rapid expansion along with the rapid development of our country's economy. Especially since the great bull market in early 2007, sunshine private equity funds have been growing steadily. In recent years, while sunshine private equity funds have developed rapidly in our country, their return on investment performance has also been recognized by the majority of investors. It not only increases the way investors can invest in the market, but also shows the vitality of our financial market. With the increase in the number of private equity funds, the performance of their performance has become an issue of concern to investors. How to evaluate the performance of the fund and the establishment of the evaluation system has become more and more important. On this basis, Based on the financial theory research at home and abroad, this paper hopes to construct the research and evaluation system of sunshine private equity fund industry in China. Based on the examples, this paper intercepts the data of domestic sunshine private equity fund products from one year to four years. Emphasis is placed on the combination of Sharp ratio, yield and downside risk to evaluate Sunshine Private Fund products with a combination of stability and profitability. T-MN H-MU C-L model is also used to test the selected funds. Focus on the evaluation of sunshine private equity fund managers' ability index and timing ability index. After detailed collection and processing, the data of this paper are tested in the evaluation system. It reflects the completeness of the research ideas and the consistency of the research ideas before and after, on the basis of such research, the performance evaluation will be more consistent and comprehensive.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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