本文選題：股票型開放式基金 + 績效評估　； 參考：《廈門大學》2009年碩士論文

【摘要】： 自1998年基金金泰和基金開元的開篇之作,到2001年開放式基金首發(fā),到2005年商業(yè)銀行涉足基金業(yè)設(shè)立基金管理公司,再到2006年基金封轉(zhuǎn)開的實行,在經(jīng)濟金融快速發(fā)展的背景下,伴隨著制度的不斷完善,產(chǎn)品的不斷豐富,我國基金業(yè)用11年走完了國外一百多年的發(fā)展歷程,無論在規(guī)模上還是結(jié)構(gòu)上都發(fā)生了翻天覆地的變化。 在新的金融環(huán)境下,面對數(shù)量眾多,風格各異的基金產(chǎn)品如何客觀合理的評價,已成為基金參與各方越來越關(guān)注的問題。 一個完整的基金績效評估體系必須包括:基金收益風險衡量、基金經(jīng)理投資能力分析和基金業(yè)績的持續(xù)性分析三方面。本文借鑒國內(nèi)外證券投資基金業(yè)績評估的研究成果,結(jié)合我國證券市場的實際情況,選用了2004年至2008年間的20只股票型開放式基金,對開放式基金風險收益特征、基金經(jīng)理投資能力分析和業(yè)績持續(xù)性分析進行了深入的理論闡釋和實證分析。為今后進一步的研究提供階段性的結(jié)論和參考性的建議。 本文主要運用經(jīng)典的風險調(diào)整收益指標、VaR及基于VaR的RAROC法、T-M模型、C-L模型、轉(zhuǎn)移矩陣法和整體持續(xù)性指標等方法,用日、周、年不同時間周期收益率分階段進行實證分析,得出的主要結(jié)論如下:(1)我國開放式基金收益超越基準組合收益,體現(xiàn)了專業(yè)有效的資產(chǎn)管理能力;(2)三個經(jīng)典風險調(diào)整收益指標保持一定程度的內(nèi)部一致性,綜合比較得出夏普指數(shù)更具代表性;(3)我國基金不具備選時能力,整體上具有一定的選股能力,在不同階段有不同顯著程度的選股能力,在牛市選股能力更顯著;(4)我國基金業(yè)績整體上不具備持續(xù)性,基金經(jīng)理高頻率更替是一重要影響因素。 本文最后結(jié)合實證研究的結(jié)果和相關(guān)原因分析,對發(fā)展我國開放式基金提出了相關(guān)政策建議。
[Abstract]:From the beginning of the fund Jintai and the fund Kaiyuan in 1998 to the open-end fund in 2001, to the establishment of fund management company by commercial banks in the fund industry in 2005, and to the implementation of fund closure in 2006, under the background of rapid economic and financial development, With the continuous improvement of the system and the continuous enrichment of the products, the fund industry of our country has completed the development process of more than 100 years in foreign countries in 11 years, both in terms of scale and structure, has undergone earth-shaking changes. In the new financial environment, how to evaluate the fund products objectively and reasonably in the face of a large number of funds with different styles has become an issue of increasing concern to all parties involved in the fund. A complete fund performance evaluation system must include: fund income risk measurement, fund manager investment ability analysis and fund performance analysis. This paper draws lessons from the research results of domestic and foreign securities investment fund performance evaluation, combined with the actual situation of China's securities market, selects 20 open-end equity funds from 2004 to 2008, and analyzes the risk return characteristics of open-end funds. The fund manager's investment ability analysis and performance persistence analysis have carried on the thorough theory explanation and the demonstration analysis. To provide the stage conclusion and the reference suggestion for the future further research. This paper mainly uses the classical risk-adjusted return index VaR, the RAROC method based on VaR and the T-M model C-L model, the transfer matrix method and the global persistence index and so on, carries on the empirical analysis with the day, the week, the year different time cycle rate of return in different stages to carry on the empirical analysis. The main conclusions are as follows: 1) China's open-end fund income exceeds the benchmark portfolio income, which reflects the professional and effective asset management capability. (2) the three classic risk-adjusted income indicators maintain a certain degree of internal consistency. Comprehensive comparison shows that Sharp index is more representative than others.) China's funds do not have the ability to select stocks, they have the ability to select stocks in general, and they have the ability of selecting stocks to different degrees at different stages. In the bull market, the ability of stock selection is more significant. 4) the overall performance of Chinese funds is not sustainable, and the high frequency turnover of fund managers is an important influencing factor. Finally, based on the results of empirical research and the analysis of relevant reasons, this paper puts forward some policy recommendations for the development of open-end funds in China.
【學位授予單位】：廈門大學
【學位級別】：碩士
【學位授予年份】：2009
【分類號】：F832.51

【引證文獻】

相關(guān)碩士學位論文 前2條

1 那麗芳;中國股票型開放式基金業(yè)績評價的實證研究[D];東北財經(jīng)大學;2011年

2 裴俊波;我國股票型開放式基金績效評估的實證研究[D];西南交通大學;2012年

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本文編號：2015902