我国股票型开放式基金绩效评价的实证研究

发布时间：2018-05-17 03:09

本文选题：开放式基金 + 绩效评价　；参考：《西南财经大学》2013年硕士论文

【摘要】：1998年3月27日,经过中国证监会批准,南方基金管理公司和国泰基金管理公司分别发行了两支规模为20亿元的封闭式基金—基金开元和基金金泰,由此我国拉开了证券投资基金试点的序幕。在接下来的十几年里我国的基金行业经历了飞速的发展,资产规模不断壮大,基金种类也不断丰富,而且创新型的产品不断涌现,在资本市场中成为机构投资者中的主力,发挥了中流砥柱的作用；另一方面,证券投资基金以集合投资、分散风险、专家理财等独特的优势赢得了广大投资者的认可,成为我国居民日常生活中常用的投资理财方式。其中开放式基金逐步成为基金市场中的主流,截止2011年底,全部基金的份额规模总计26509.93亿份,资产净值总计21918.40亿元,其中开放式基金共有964只,其份额规模总计25147.80亿份,在全体基金份额规模中占比94.86%,其资产净值总计20693.45亿元,在全体基金资产净值中占比94.41%。其中股票方向基金共有631只,资产净值合计16317.80亿元,占全部基金资产净值21918.40亿元的74.45%’。随着证券投资基金的快速发展,基金在经济生活中地位越来越高,从宏观层面来讲,对基金运作绩效进行客观、科学评价能够为公募基金健康运作提供监督,能使基金市场各方都能对特定基金的运作效果增进了解,有助于我国公募基金行业持续健康发展。从微观层面来讲,基金绩效评价的相关研究对于证券投资基金市场的参与各方来说都具有非常重要的意义。基金绩效的评价可以为基金管理人衡量自己某一阶段的管理工作成效提供一套科学、客观、合理的工具,有助于将基金管理人的利益与基金持有人的利益同一化,同时也有助于基金管理人发现基金运作过程中的失误与不足,调整操作策略,提升运作业绩。此外基金绩效评价可以使得代销渠道发掘优秀产品,了解已销售基金产品的运作情况,明确不同基金产品的风险收益状况,与客户的风险偏好匹配,提升客户资产的配置效果。而且基金绩效评价还有助于监管者了解证券投资基金市场的运行态势,结合基金市场的创新产品,可以及时的调整、修改监管法规法则,满足新时期基金监管的需求。在此背景下,我选择了对我国股票型开放式基金运作绩效进行研究,其中本文主要的贡献有以下几点： (一)本文从基金平衡收益与风险的能力、管理能力与业绩的持续性三个方面,运用了十几个指标及方法对于样本基金在考察期内的运作绩效进行了系统性全面性的评价； (二)在对经风险调整后的收益指标和基金管理能力进行评价时,不仅针对指标反映的基金业绩做了评价,而且对各个指标之间或是估计系数之间的相关性进行了分析,探求了不同评价指标和不同评价方法之间评价结果的一致性； (三)在对基金业绩持续性进行评价时采用了较为新颖的转移矩阵法和业绩总持续性指标分析,并且尝试探求基金经理更迭对基金业绩持续性的影响； (四)在考察阶段的选取上,既采用了距今很近的现实数据,而且包含了牛市、平衡市、熊市、反弹市等多种市场环境,可以较为全面的考察股票型开放式基金在不同市场环境下的运作绩效。本文选取了2009年1月1日之前成立的20只股票型开放式基金,并依照其在2009年1月到2012年6月的收益率数据对样本基金的运作绩效进行了考察和研究,本文具体分为了五个部分：第一部分为绪论部分,主要介绍了本文研究的背景、研究的微观与宏观意义、本文采用的研究方法以及论文研究框架、以及与开放式基金相关的重要概念,旨在为后文的深入研究做好铺垫工作。第二部分为海内外文献综述部分,通过对大量文献的阅读和思考,总结分析了海内外文献中关于基金业绩评价的理论和内容,海外部分的文献综述侧重与介绍和梳理关于基金业绩评价的经典理论以及对于基金业绩评价研究的发展趋势。国内文献综述部分侧重于我国学者对于我国基金业绩评价的实践分析和理论创新的整理和梳理。第三部是理论与模型介绍部分,主要介绍本文实证研究所需要用到指标的方法,而且是分为5个角度来进行介绍的,首先是基金业绩评价的传统收益指标,主要介绍了基金单位净值增长率、基金累计净值增长率和基金平均收益率(几何平均收益率与算术平均收益率)；其次介绍了基金风险评价指标,主要包括基金的方差(δ2)、标准差(δ)、贝塔系数(β)和判定系数(R2)；再次,介绍了经过风险调整的收益评价指标,主要包括特雷诺指标(Treynor performance measure)、夏普指数(Sharpe Ratio)和詹森指数(Jensen's α)和M2指数；再其次介绍了评价股票型开放式基金管理能力的模型,主要包括T-M模型和H-M模型；最后介绍了基金业绩持续性的评价方法,主要包括转移矩阵法、业绩总持续性指标和基于对基金经理更迭的研究。第四部分是实证研究部分,首先介绍了研究样本的选择、研究时间段的选取、市场基准组合的构建、市场无风险利率的选取、数据来源以及数据处理方法；其次是依照前一章的介绍,分为五个部分对于我国股票型开放式基金的运作绩效进行了实证研究,并对实证结果进行分析。第五部分为结论与建议部分,主要介绍了本文基于实证研究结果得到的结论、本文研究的创新之处与不足之处,针对我国股票型开放式基金的发展现状以及本文的论证结果,为我国基金市场的发展和股票型开放式基金的投资提供的建议。通过实证研究结果的分析,本文得出了以下几点结论： (一)、从收益的角度来看,我国绝大部分基金都能获取超越市场基准组合的正超额收益,我国股票型开放式基金能为投资者创造投资价值。但是基金之间业绩分化严重,累计收益最高者与最低者相差超十倍,说明面对相同的市场环境不同的基金管理人操作能力差异巨大。而且月平均收益率、超额收益率与累计收益率这三项指标的排名之间具有较强的相关性,但个别基金除外。 (二)、从风险的角度来看,绝大部分样本基金的风险状况要小于市场基准组合,体现了基金管理人优秀的风险控制能力。所有样本基金的收益波动情况与市场基准组合的收益波动情况成正相关关系,而且绝大多数的基金的基金操作风格比较稳健,即收益波动幅度小于市场基准组合的收益波动幅度。系统性风险在绝大多数样本基金的总体风险中占主导地位,系统性风险平均风险贡献度达到了66.36%,但于欧美成熟市场相比,投资风险分散化程度仍有一定的差距。 (三)、综合收益与风险来看,经过风险调整的四大收益指标的结果证实了样本基金能够取得超越市场基准组合的超额收益,具有良好的风险收益特性。而且各大指标评价的结果之间均具有显著的正相关性,考虑到这几个指标中风险衡量的因素不同,这说明在我国股票型开放式基金的运作中非系统性风险得到了有效的分散,非系统性风险在总体风险的占比很低,我国股票型开放式基金具有比较好的投资绩效。 (四)、从基金管理能力的角度来看,依照实证分析的结果,只有偏少数的样本基金具有显著的选择被低估证券的能力,大多数股票型开放式基金都不具备这一能力；只有很少数的样本基金具有显著的把握市场时机的能力,绝大多数基金都不具备这一能力。而且同时具有显著的选择被低估证券能力和把握市场时机能力的样本基金只有一只,而绝大多数样本基金既无显著的选择被低估证券能力也无显著的把握市场时机能力,说明我国股票型开放式基金的管理水平还有待于提升。而且两大模型的α系数与θ系数之间均具有显著的正相关性,说明这两大模型的业绩评价结果具有一致性。 (五)、从基金业绩的持续性来看,样本基金的业绩持续性很差,在相邻时期能保持业绩稳定的基金至多30%,且呈递减趋势,而且是业绩排名前端和后端的基金业绩波动幅度最大,排名中游的基金业绩相对平稳,其中有个别基金业绩的波动程度异常剧烈,这导致股票型开放式基金的历史业绩的参考作用很低。此外,不同时期的基金业绩持续性不同,市场环境保持相对稳定时基金业绩持续性相对较好。最后,基金经理的频繁更迭也是导致基金业绩波动的原因之一,大体上看基金经理任职时间越长、基金经理任职稳定的基金大概率会比那些基金经理更换频繁的基金具有较好业绩持续性,但是这一关系并不显著。总而言之,我国股票型开放式基金的业绩缺乏持续性,历史业绩的参考价值较低。
[Abstract]:In March 27, 1998, after the approval by the China Securities Regulatory Commission, the Southern Fund Management Co and the Cathay fund management company issued two closed funds of 2 billion yuan, the fund Kaiyuan and the fund Jintai, which opened the prelude to the pilot of the securities investment fund. With the rapid development, the asset scale is growing, the type of fund is constantly enriched, and the innovative products are constantly emerging. In the capital market, it has become the main force of the institutional investors and plays the role of the mainstay. On the other hand, the securities investment fund has won the vast investment by the unique advantages such as collecting investment, dispersing risk, and expert financial management. The recognition of the people has become a common investment and financial management mode in our daily life. The open-end fund has gradually become the mainstream of the fund market. By the end of 2011, the total share of the fund was 2 trillion and 650 billion 993 million and the net assets totaled 2 trillion and 191 billion 840 million yuan, of which there were 964 open funds with a total of 2 trillion and 514 billion 780 million shares. It accounted for 94.86% of the total fund share, with a total net asset of 2 trillion and 69 billion 345 million yuan, accounting for 631 of the equity funds in the net assets of the fund, and the total net asset value of 1 trillion and 631 billion 780 million yuan, accounting for 74.45% of the total net assets of the fund by 2 trillion and 191 billion 840 million yuan.
With the rapid development of the securities investment fund, the fund has become more and more important in the economic life. From the macro level, the performance of the fund is objective. The scientific evaluation can provide supervision for the healthy operation of the public fund. All parties in the fund market can enhance the understanding of the operation effect of the specific funds and help the public fund of our country. The industry continues to develop healthier.
From the micro level, the research on the performance evaluation of the fund has a very important significance for all the participants in the securities investment fund market. The evaluation of fund performance can provide a set of scientific, customer and reasonable tools for fund managers to measure the effectiveness of their own management work at a certain stage. The interests and the interests of the fund holders are the same, and also help the fund managers to find out the mistakes and shortcomings in the operation of the fund, adjust the operation strategy and improve the operating performance. In addition, the fund performance evaluation can make the marketing channels excavate excellent products, understand the operation of the sold basic gold products, and make clear the different fund products. The risk income situation, which matches the customer's risk preference, improves the configuration effect of the customer's assets. And the performance evaluation of the fund will help the supervisor to understand the running situation of the securities investment fund market, and combine the innovative products of the fund market to adjust the rules of regulation and regulation in time to meet the needs of the new period fund supervision.
Under this background, I have chosen to study the operation performance of China's stock open-ended funds. The main contributions of this paper are as follows:
(1) from the three aspects of the fund's ability to balance income and risk, the ability of management and the sustainability of the performance, a dozen indicators and methods are used to make a systematic and comprehensive evaluation on the performance of the sample fund during the period of the investigation.
(two) when evaluating the risk adjusted income index and fund management ability, it not only evaluates the performance of the fund, but also analyzes the correlation between the indexes and the estimation coefficients, and explores the consistency of the evaluation results between the different evaluation indexes and the different evaluation methods.
(three) in the evaluation of the sustainability of the fund, a new transfer matrix method and an overall performance index are used to analyze the impact of fund manager change on the sustainability of fund performance.
(four) in the selection of the investigation stage, we not only adopt the realistic data which are very close to the present, but also include the market environment such as the bull market, the balance market, the bear market, the rebound market and so on, which can make a more comprehensive investigation of the operating performance of the stock open fund under different market conditions.
This paper selects 20 open - type open-end funds established before January 1, 2009 and investigates and studies the performance of the sample fund in accordance with its return data from January 2009 to June 2012. This paper is divided into five parts:
The first part is the introduction part, which mainly introduces the background of the study, the micro and macro significance of the research, the research methods adopted in this paper, the framework of the thesis, and the important concepts related to the open fund, which is designed to make a good work for the further research of the latter.
The second part is an overview of the literature at home and abroad. Through the reading and thinking of a large number of literature, it summarizes and analyzes the theory and content of the evaluation of fund performance in the literature at home and abroad. The literature review of the overseas part focuses on the classic theories on the performance evaluation of the fund and the development of the research on fund performance evaluation. The domestic literature review focuses on the practice analysis and theoretical innovation of Chinese fund performance evaluation.
The third part is the introduction of the theory and model. It mainly introduces the methods which need to be used in the empirical study, and it is introduced in 5 angles. First, it is the traditional income index of the fund performance evaluation. It mainly introduces the net value growth rate, the net value increase rate and the fund average return rate (Ji Heping). The average return rate and the arithmetic average return rate); secondly, it introduces the fund risk evaluation index, mainly including the fund variance (delta 2), the standard deviation (delta), beta coefficient (beta) and the decision coefficient (R2); thirdly, it introduces the risk adjusted income evaluation index, mainly including the Toreno index (Treynor performance measure), the SHARP index (Sharpe R). Atio) and Jansen index (Jensen's alpha) and M2 index; secondly, it introduces the model of evaluating the management ability of the Stock Open-end Fund, mainly including the T-M model and the H-M model. Finally, it introduces the evaluation methods of the performance sustainability of the fund, mainly including the transfer matrix method, the overall performance index and the research based on the change of fund manager.
The fourth part is the empirical study. Firstly, it introduces the selection of the research sample, the selection of the time period, the construction of the market benchmark combination, the selection of the risk free interest rate, the data source and the data processing method. Secondly, according to the introduction of the previous chapter, it is divided into five parts for the operation performance of China's Stock Open-end Fund. An empirical study is conducted and the empirical results are analyzed.
The fifth part is the conclusion and the suggestion part, which mainly introduces the conclusions based on the results of the empirical research, the innovation and the inadequacies of this paper, and the development status of the open stock fund in China and the results of this paper, which provides the development of our fund market and the investment of the stock type open fund. Argumentative.
Through the analysis of the empirical results, the following conclusions are drawn.
(1) from the point of view of income, most of the funds in our country can obtain excess earnings beyond the market benchmark combination, and the stock type open-end fund in China can create investment value for investors. However, the performance of the fund is divided between the fund and the lowest, and the difference between the highest and the lowest is ten times, indicating that the market environment is different from the same market environment. There is a great difference in the operating ability of the fund managers, and there is a strong correlation between the ranking of the monthly average returns, the excess return and the cumulative yield, except for the individual funds.
(two) from the risk point of view, the risk of most of the sample funds is less than the market benchmark portfolio, which reflects the excellent risk control ability of the fund managers. The volatility of the income of all sample funds is positively related to the volatility of the market benchmark combination, and the vast majority of the fund's fund operation style. It is more robust, that is, the volatility of earnings is less than the volatility of the market benchmark portfolio. Systemic risk is dominant in the overall risk of the vast majority of sample funds, and the average risk contribution of systemic risk reaches 66.36%, but there is still a certain gap between the degree of investment risk decentralization compared to the mature markets in Europe and America.
(three) in terms of comprehensive income and risk, the results of the four major income indicators, which are adjusted by risk, confirm that the sample fund can obtain excess returns beyond the market benchmark combination, and has a good risk return characteristic. And the results of the evaluation of the major indicators have significant positive correlation, taking into account the risk measurement of these indicators. The factors are different, which shows that the non systematic risk has been effectively dispersed in the operation of China's Stock Open-end Fund, and the proportion of non systemic risk is very low in the overall risk. The stock type open-end fund has better investment performance in China.
(four) from the perspective of fund management ability, according to the results of empirical analysis, only a small number of sample funds have significant ability to choose undervalued securities. Most of the open-ended funds have no ability; only a small number of sample funds have a significant ability to grasp the market opportunity, and the vast majority of the funds. There is only one sample fund to select the ability to underestimate the securities and seize the opportunity of the market at the same time, and most of the sample funds have no significant choice of undervalued securities and no significant grasp of the market opportunity. There is a significant positive correlation between the alpha and theta coefficients of the two models, which shows that the results of the two models are consistent.
(five), from the sustainability of the fund performance, the performance of the sample fund is very poor, the fund that can maintain stable performance in the adjacent period is up to 30%, and presents a decrease trend, and the fund performance fluctuates most in the front and back end of the performance ranking, and the base gold performance in the middle reaches is relatively stable, among which there is a fluctuation in the performance of individual funds. In addition, the sustainability of fund performance in different periods is different and the market environment remains relatively stable, the fund performance is relatively good. Finally, the frequent change of fund managers is also one of the reasons for the fund performance fluctuation, generally speaking. The longer the term of the fund manager is, the more stable funds of the fund manager will have better performance than those of the fund managers, but the relationship is not significant. In a word, the performance of our stock type open-end fund is lack of continuity and the reference value of historical performance is low.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】