本文選題：成長(zhǎng)型基金 + VaR�。� 參考：《哈爾濱工程大學(xué)》2012年碩士論文

【摘要】：隨著我國(guó)證券投資基金市場(chǎng)的不斷發(fā)展，以成長(zhǎng)性上市公司為主要投資目標(biāo)的成長(zhǎng)型基金規(guī)模不斷壯大，，這使得科學(xué)合理地評(píng)價(jià)成長(zhǎng)型基金的績(jī)效日顯重要�；�金績(jī)效的評(píng)價(jià)要綜合考慮基金創(chuàng)造收益和控制風(fēng)險(xiǎn)的能力，VaR方法是目前計(jì)量風(fēng)險(xiǎn)收益的主流方法，因此本文引入基于VaR的RAROC指標(biāo)評(píng)價(jià)我國(guó)成長(zhǎng)型基金的績(jī)效。 本文首先闡述了成長(zhǎng)型基金的概念、特征和國(guó)內(nèi)外發(fā)展現(xiàn)狀，并分析了我國(guó)成長(zhǎng)型基金市場(chǎng)面臨的利率、匯率、通脹和股市政策風(fēng)險(xiǎn)情況，介紹了我國(guó)成長(zhǎng)型基金風(fēng)險(xiǎn)收益的傳統(tǒng)計(jì)量方法，針對(duì)其應(yīng)用中存在的缺陷，本文提出VaR方法，并構(gòu)建不同的RAROC指標(biāo)以評(píng)價(jià)成長(zhǎng)型基金績(jī)效。對(duì)于VaR值測(cè)算的具體模型的確定，論文首先分析了所選取的12只成長(zhǎng)型基金收益率序列的特點(diǎn)，發(fā)現(xiàn)其存在的尖峰、厚尾和波動(dòng)聚類等現(xiàn)象，于是引入GARCH-N、GARCH-t和EGARCH模型來(lái)度量其VaR，并通過(guò)計(jì)算不同模型下VaR的失敗率大小確定各模型的準(zhǔn)確性。接著將不同模型下的VaR值分別與超過(guò)無(wú)風(fēng)險(xiǎn)收益和超過(guò)市場(chǎng)基準(zhǔn)的超額收益組合，構(gòu)建不同RAROC指標(biāo)評(píng)價(jià)成長(zhǎng)型基金績(jī)效，有利于辯證的解釋市場(chǎng)下跌態(tài)勢(shì)下成長(zhǎng)型基金的績(jī)效情況。對(duì)成長(zhǎng)型基金的績(jī)效評(píng)價(jià)結(jié)果從整體狀況說(shuō)明、外部宏觀環(huán)境和內(nèi)部投資策略三個(gè)層面進(jìn)行分析。最后，論文從投資策略、投資組合和內(nèi)部風(fēng)險(xiǎn)控制三個(gè)方面介紹了國(guó)外成長(zhǎng)型基金績(jī)效提升的實(shí)踐經(jīng)驗(yàn)，并結(jié)合國(guó)內(nèi)成長(zhǎng)型基金績(jī)效評(píng)價(jià)結(jié)果，為成長(zhǎng)型基金管理公司提升績(jī)效提出了相應(yīng)的對(duì)策，從優(yōu)化基金市場(chǎng)環(huán)境來(lái)提升成長(zhǎng)型基金績(jī)效方面也提出了一系列對(duì)策。
[Abstract]:With the continuous development of the securities investment fund market in China, the scale of the growth fund whose main investment target is the growth listed company is growing, which makes it more and more important to evaluate the performance of the growth fund scientifically and reasonably. The evaluation of fund performance should consider synthetically the ability of fund to create income and control risk. The VaR method is the mainstream method to measure the risk return at present, so this paper introduces the RAROC index based on VaR to evaluate the performance of the growth fund of our country. This paper first describes the concept, characteristics and current situation of the growth fund, and analyzes the interest rate, exchange rate, inflation and stock market policy risk of the growth fund market in China. This paper introduces the traditional measurement method of the risk return of the growth fund in our country. In view of the defects in its application, this paper puts forward the VaR method and constructs different RAROC indexes to evaluate the performance of the growth fund. For the determination of the specific model of VaR value, the paper firstly analyzes the characteristics of 12 growth funds' return series, and finds out that there are some phenomena such as peak, thick tail and fluctuation clustering. Then the GARCH-NV GARCH-t and EGARCH models are introduced to measure VaR, and the accuracy of each model is determined by calculating the failure rate of VaR in different models. Then, the VaR value under different models is combined with excess return without risk and excess return over market benchmark, and different RAROC indicators are constructed to evaluate the performance of growth funds. It is helpful to explain the performance of the growth fund under the situation of market decline. The performance evaluation results of the growth fund are analyzed from three aspects: the overall situation, the external macro environment and the internal investment strategy. Finally, the paper introduces the practical experience of foreign growth fund performance improvement from three aspects: investment strategy, investment portfolio and internal risk control, and combines the results of domestic growth fund performance evaluation. This paper puts forward the corresponding countermeasures for the growth fund management company to improve its performance, and also puts forward a series of countermeasures from the aspect of optimizing the fund market environment to improve the growth fund performance.
【學(xué)位授予單位】：哈爾濱工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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