我国开放式基金的波动择时能力研究

发布时间：2018-06-21 23:35

本文选题：开放式基金 + 资产配置　；参考：《华南理工大学》2013年硕士论文

【摘要】：伴随着我国资本市场的持续快速发展，证券投资基金在金融市场中的重要地位日益凸显，受到个人投资者和机构投资者越来越多的青睐，成为投资者主要的投资方向。截止2012年底，其投资额已超过了股市总流通市值的20%。其中，开放式基金自2001年9月在我国诞生以来至2011年底，累计发行数量已经达到了800余只，基金管理规模达到了2.18万亿元，分别占基金总量的70%和80%。如何科学合理地对开放式基金的业绩进行衡量和评价，进而为投资者、基金管理者以及监管当局提供有价值的参考信息，帮助他们做出恰当的投资和管理决策，不仅是学术界持续争论的热点，同时也具有十分重要的现实意义。尽管国内外学者从不同角度提出了许多业绩评价模型，但站在投资者的角度，基金经理的个人素质尤其是波动择时能力对基金业绩具有很大的影响，是业绩评价的一个重要方面。其中，波动择时是指基金经理结合对未来市场波动的预测调整投资组合的风险水平，从而提高基金投资效用的行为，即在市场波动增大的时候减少风险资产的持有量，在市场波动减小时增加风险资产的持有量。开放式基金波动择时能力的评价作为基金业绩评价体系中的一部分，一方面是对基金管理公司之间管理水平优劣的比较，另一方面也为基金管理公司评估投资目标、总结经验、提高管理水平提供了理论上的支持，能够从一个侧面进一步求证基金是否发挥了专家理财的优势，真正表现出了良好的绩效，成为证券市场上稳定大盘的中坚力量。本文将我国开放式基金作为研究样本，以实证研究为主，广泛采用比较分析法，分两步对波动择时能力展开研究：首先，本文尝试在Busse的波动择时模型中引入了收益择时因子，结合传统的择时能力评价模型TM模型以及FF3模型，构建FF3-TM-B模型对基金的波动择时能力进行实证检验，在检验的过程中，对比不同模型下不同特征的基金的波动择时能力的情况。然后，文章将在此基础上进一步研究波动择时能力与基金业绩之间的关系，所采用的方法有相关分析、自助法检验以及条件业绩评价方法，对研究结果还将尝试做出理论上的解释。本文的研究结果显示，我国股票市场的条件收益与波动之间无正相关关系，为基金进行波动择时提供了条件，同时，开放式基金普遍具备波动择时能力，其中期限短、规模小的基金波动择时能力更强，而投资类型和投资风格对波动择时能力没有影响。最后，本文还发现波动择时能力与基金业绩之间有一定的正相关性，，即波动择时能力能够为基金带来业绩上的提升。
[Abstract]:With the continuous and rapid development of the capital market in China, the important position of the securities investment funds in the financial market is becoming increasingly prominent, which has been more and more favored by individual investors and institutional investors, and has become the main investment direction of investors. By the end of 2012, its investment had exceeded the stock market total circulation of 20% of market value. Since the establishment of open-end funds in our country in September 2001 to the end of 2011, the cumulative number of issuance has reached more than 800, and the scale of fund management has reached 2.18 trillion yuan, accounting for 70% and 80% of the total amount of funds, respectively. How to measure and evaluate the performance of open-end funds scientifically and reasonably, and then provide valuable reference information for investors, fund managers and regulatory authorities to help them make appropriate investment and management decisions. It is not only a hot topic in academic circles, but also a very important practical significance. Although scholars at home and abroad have put forward many performance evaluation models from different angles, from the perspective of investors, the personal qualities of fund managers, especially the volatility timing ability, have a great impact on the performance of the fund. It is an important aspect of performance evaluation. Among them, volatility timing refers to the behavior of fund managers adjusting the risk level of the investment portfolio in combination with the forecast of future market volatility, thereby improving the investment utility of the fund, that is, reducing the holding of risky assets when the market volatility increases. Increase the holdings of risky assets when market volatility decreases. As a part of fund performance evaluation system, the evaluation of open-end fund volatility timing ability is to compare the management level among fund management companies, on the other hand, to evaluate investment objectives for fund management companies and sum up their experiences. Improving the management level provides theoretical support, can further verify whether the fund has played the advantage of expert financial management from a side, has shown good performance, and has become the backbone of the stable market in the securities market. In this paper, the open-end funds in China are taken as the research sample, and the empirical research is the main part, and the comparative analysis is widely used to study the volatility timing ability in two steps. Firstly, this paper attempts to introduce the return timing factor into Busse's volatility timing model. Combining with the traditional time-selecting ability evaluation model TM model and FF3 model, we construct FF3-TM-B model to test the volatility timing ability of funds. In the process of testing, we compare the volatility timing ability of funds with different characteristics under different models. Then, the paper will further study the relationship between volatility timing ability and fund performance. The methods used include correlation analysis, self-help test and conditional performance evaluation. A theoretical explanation will also be sought for the results of the study. The results of this paper show that there is no positive correlation between conditional returns and volatility in China's stock market, which provides conditions for funds to carry out volatility timing. At the same time, open-end funds generally have the ability of volatility timing, in which the duration is short. The small funds have stronger volatility timing ability, while the investment type and investment style have no effect on the volatility timing ability. Finally, it is found that there is a positive correlation between the volatility timing ability and the performance of the fund, that is, the volatility timing ability can improve the performance of the fund.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】