基于DEA调整的TOPSIS方法在阳光私募基金业绩评价中的应用

发布时间：2018-06-08 20:57

本文选题：阳光私募基金 + TOPSIS　；参考：《浙江财经学院》2013年硕士论文

【摘要】：阳光私募基金在国内起步较晚，但近几年发展迅猛，其管理资产规模以及占A股流通市值比例都显著增加，成为资本市场上不可小视的重要力量。近年来，关于基金业绩评价的研究基本集中在公募基金行业，而阳光私募基金作为证券市场重要的民间金融形态，却鲜有学术界的研究成果。现有基金评级机构所采用的评价方法主要着眼于风险调整收益，本文旨在遵循科学、实用的原则上，借鉴学术界的研究思想，尝试建立一个合理、全面的阳光私募业绩评价方法，因而具有一定的研究意义。本文主要研究阳光私募基金的业绩评价，在国内外基金业绩评价理论及方法的基础之上，选取收益率、风险、风险调整收益、基金经理择时能力和选股能力这五项评价指标来构建国内阳光私募基金业绩评价体系。本文以我国2008年1月前成立的且至今仍在运行的81只阳光私募基金为研究样本（样本期为2008年1月至2012年5月），对所选取的样本计算其各项评价指标值，选用TOPSIS方法运算得出综合业绩指标值。对于TOPSIS方法所存在的忽略投入效率与产出效率而导致的结果失真问题，本文引入数据包络分析（DEA）方法，由DEA模型中面向输出模型的和面向输入模型得出的结果，构建业绩调整公式，对TOPSIS法得出的评价结果进行合理调整，最后分析各模型实证结果得出结论。实证结果表明，经DEA调整后的结果能够考虑基金投入效率和产出效率，其调整后的业绩评价结果更加合理。全文由以下五个部分构成：第一章：介绍文章的选题背景以及研究意义，简要阐述本文的研究思路与文章结构安排。第二章：简述阳光私募基金的基本情况，然后对国内外基金业绩评价研究作出综述。第三章：构建了阳光私募基金业绩评价指标体系，采用基于DEA调整的TOPSIS方法设计阳光私募基金业绩评价方法。第四章：基于DEA调整的TOPSIS方法对阳光私募基金进行实证分析并得出结论。第五章：对本文做出总结评述，并指出文章的不足之处以及未来的研究展望。在研究方法上，本文采用了定性分析、定量分析以及比较分析方法等，对样本区间的选取采用了定性的分析方法；对各项业绩指标、指标综合值、指标调整值的计算均采用定量的分析方法；比较分析法用于DEA模型调整前后的评价结果的对比分析，用于说明调整后的结果更具合理性。本文的主要创新点包括：（1）近年来国内鲜有研究阳光私募基金业绩评价的实证性文章，本文的研究可以作为这一方面的尝试。（2）首次结合TOPSIS方法与面向输出、面向输入的DEA方法，运用到阳光私募基金的业绩评价。在国内阳光私募基金对市场影响日趋扩大的现实背景下，本文的研究可以为其业绩评价提供一个较为全面的方法，具有较强的现实意义。本文的研究亦能帮助我国阳光私募基金投资者合理选择私募产品，引导阳光私募基金公司提升自身认识，有助于整体行业引入良性的竞争模式，也在吸引社会资源、优化资源配置方面起到了积极作用。
[Abstract]:The sunshine private fund has started late in China, but it has developed rapidly in recent years. The scale of its management assets and the proportion of the market value of A shares have increased significantly. It has become an important force in the capital market. In recent years, the research on the performance evaluation of the fund is mainly concentrated in the public fund industry, while the sunshine private fund is a securities market. There are few academic achievements in the important form of folk finance. The evaluation methods adopted by the existing fund rating agencies mainly focus on the risk adjustment income. This paper aims to follow the scientific and practical principles and learn from the academic thought and try to establish a reasonable and comprehensive method for evaluating the private performance of sunshine. The significance of the study.
This paper mainly studies the performance evaluation of the sunshine private fund, on the basis of the theory and method of performance evaluation at home and abroad, select the five evaluation indexes of yield, risk, risk adjustment income, fund manager's timing ability and stock selection ability. This paper is made in January 2008 in China. The 81 sunshine private funds, which are still in operation, are the research samples (from January 2008 to May 2012). The evaluation index values of the selected samples are calculated and the TOPSIS method is used to calculate the comprehensive performance index value. The results are distorted by the neglecting input efficiency and output efficiency of the TOPSIS method. In this paper, the paper introduces the data envelopment analysis (DEA) method, constructs the performance adjustment formula from the output model and the input model in the DEA model, adjusts the evaluation results obtained by the TOPSIS method, and finally analyzes the empirical results of each model. The empirical results show that the results adjusted by DEA can be tested. Considering the input efficiency and output efficiency of the fund, the adjusted performance evaluation results are more reasonable.
The full text consists of the following five parts: the first chapter: introducing the background and significance of the article, briefly explaining the research ideas and structure arrangement of this article. The second chapter: briefly describes the basic situation of the sunshine private fund, and then makes a summary of the research on the performance evaluation of the fund at home and abroad. The third chapter: the construction of the sunshine private fund industry The performance evaluation index system adopts the TOPSIS method based on DEA adjustment to design the performance evaluation method of the sunshine private fund. The fourth chapter: Based on the TOPSIS method of DEA adjustment, the paper makes an empirical analysis and draws a conclusion. The fifth chapter makes a summary review of this article, and points out the shortcomings of the chapter and the future research prospect.
In the research method, the qualitative analysis method is adopted to select the sample interval, and the quantitative analysis method is used for the calculation of the performance index, the index comprehensive value and the index adjustment value, and the comparative analysis method is used for the evaluation results before and after the DEA model adjustment. Comparative analysis is used to illustrate the rationality of the adjusted results.
The main innovation points of this paper include: (1) in recent years there are few empirical articles to study the performance evaluation of private sunshine private fund in recent years. The research in this paper can be used as an attempt in this aspect. (2) it is the first time to use the TOPSIS method and the output oriented and input oriented DEA method to evaluate the performance of the private equity fund.
In the background of the increasing impact of the domestic sunshine private fund on the market, this study can provide a more comprehensive method for its performance evaluation, which is of great practical significance. This study can also help our sunshine private fund investors choose the private offering products reasonably and guide the sunshine private fund company to improve itself. Personal knowledge helps the whole industry to introduce a healthy competition mode, and also attracts social resources and plays an active role in optimizing the allocation of resources.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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