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  本文選題：五星級基金　切入點：基金業(yè)績評級　出處：《西南財經(jīng)大學》2014年碩士論文

【摘要】：在全球基金行業(yè)100多年發(fā)展歷程中,基金績效評價一直是學術界、實務界所關注的問題。證券投資基金具備專家理財、分散風險的特點,越來越受到投資者的關注。 1998年3月27日,我國第一批基金——基金開元、基金金泰設立,拉開了基金行業(yè)發(fā)展的序幕。2001年9月11日,我國正式發(fā)行第一支開放式基金“華安創(chuàng)新”,使得基金我國基金行業(yè)進入了新的篇章。特別是2005年后我國基金行業(yè)進入爆發(fā)式的增長,截止到2014年1月31日,我國共成立基金管理公司90家,共管理基金產(chǎn)品總計1574支,包括：股票型基金、混合型基金、指數(shù)型基金、債券型基金等,總資產(chǎn)管理規(guī)模突破4萬億元。 2012年2月底,我國基金第三方銷售開閘。2013年天弘基金與電商支付平臺支付寶合作,各大基金公司登陸淘寶開店。投資者不僅擁有了更多基金產(chǎn)品的選擇,并且可以通過各種渠道購買基金產(chǎn)品。如何基于投資者對于基金產(chǎn)品業(yè)績進行評價又成為了一大問題。國內(nèi)外基金評級機構的基金評級越來越成為投資者對于基金判斷的標準。目前,國內(nèi)基金評級機構主要分為3大類：第一類,國外成熟機構的中國子公司,例如晨星中國(Morningstar);第二類,國內(nèi)券商基金研究中心,例如銀河基金評價中心、海通基金評級、招商基金評級,并非獨立評級機構；第三類,第三方證券投資咨詢公司,例如天相投顧基金評級。但是,這些基金評級機構的5星評級基金是否能在未來一定時間內(nèi)帶給投資者超過市場基準收益的穩(wěn)定收益,是我們值得思考的問題。投資者是否能夠依據(jù)基金評級機構的5星評級去購買基金,并獲得超過市場基準收益的穩(wěn)定收益是本文研究的重點。 本文以我國開放式股票基金為研究對象,選取截止2012年12月31日,三大基金評級機構(晨星評級、銀河證券基金評級、濟安金信基金評級)的5星級基金為樣本。從風險調(diào)整收益、基金經(jīng)理的擇時和選股能力、基金績效的持續(xù)性三個方面進行實證研究。以期考察5星基金在基金評級后1年的業(yè)績表現(xiàn),并對三大評級機構的評級有效性進行排序。 本文主要內(nèi)容為： 選取2012年底三家機構評選的開放式股票型5星級基金共38支為樣本基金,分別從基金的風險調(diào)整收益、基金經(jīng)理擇時和擇股能力、基金績效的持續(xù)性三方面進行實證分析。 基金的風險調(diào)整收益,本文選用夏普比率(sharp ratio)、特雷諾指標、詹森a為基金的風險調(diào)整收益的評價指標。選取基金的每日復權單位凈值(數(shù)據(jù)來源：wind資訊)進行基金日收益率的計算。選取一年期定存利率為無風險收益率、采用80%滬深300指數(shù)收益率與20%上證國債指數(shù)收益率構造市場基準收益率。運用Eviews對數(shù)據(jù)進行實證分析,實證結(jié)果顯示,三家評級機構所評選的5星級基金中34支夠獲得高于市場基準的平均日收益率,且僅3支基金獲得負的詹森a值,1支基金的貝塔系數(shù)高于1。充分說明,五星級基金在評級評價期后的未來一段時間內(nèi)能夠獲得高于市場基準的收益水平,并且能夠有效的分散風險。在基金的風險調(diào)整收益方面,三大評級機構的評級有效性排序依次為：晨星評級、濟安金信、銀河評級。 基金經(jīng)理的擇時和擇股能力,本文選用T-M,H-M模型對五星級基金的擇時擇股能力進行實證分析。運用Eviews對基金日收益率數(shù)據(jù)進行實證分析：大部分基金具備較強的擇股能力,即獲得顯著的正a值；但幾乎所有基金均獲得負的二次項系數(shù),即基金具備反轉(zhuǎn)的擇時能力,但幾乎未通過t檢驗。說明5星基金具備較強的擇股能力,但不具備較好的投資擇時能力。 基金績效的持續(xù)性分析,本文選用橫截面回歸模型對基金績效的絕對持續(xù)性進行實證分析。本文選取2周、四周、3個月的基金超額收益率,分別運用Eviews進行橫截面回歸,以考察各基金在2周、4周、3個月基金業(yè)績持續(xù)性�；貧w結(jié)果顯示以四周為周期的業(yè)績持續(xù)性研究中,38支基金均獲得了顯著的不為0的斜率系數(shù),并且通過T檢驗。說明5星基金能在一定時期內(nèi)具備一定的業(yè)績持續(xù)性。三家評級機構的評級有效性排序依次為：晨星評級、濟安金信、銀河基金評級。 通過實證分析,最終本文認為,5星級開放式股票基金能夠在未來一定時期內(nèi)獲得高于市場基準水平的收益,并能在一定程度上進行風險的分散；大部分5星基金具備較強的股票選擇能力,卻不具備證券投資的擇時能力。并且,5星級基金在短期具備基金績效的持續(xù)性。在一定程度上,評級機構的基金評級是有效的,購買5星級基金可以為投資者帶來超過市場基準的收益。三家基金評級機構的評級有效性排序分別為：晨星中國(Morningstar)、濟安金信、銀河基金評級。由實證結(jié)果顯示,晨星基金評級所評選的20支五星基金,從風險調(diào)整收益,基金的擇時擇股能力、基金績效持續(xù)性來看都優(yōu)于其余兩家機構。而銀河五星評級基金則表現(xiàn)相對較差。
[Abstract]:During the 100 - year development of the global fund industry , the performance evaluation of the Fund has been a concern of the academic community and the substantive world . The securities investment fund has the characteristics of expert financial management and diversification risk , and is more and more concerned by investors .

On March 27 , 1998 , China ' s first fund of funds , fund Kaiyuan and fund Jintai established , opened the prelude of the fund industry development . On September 11 , 2001 , China officially launched the first open - end fund , " Huian innovation " , so that the fund industry of our country has entered a new chapter . Especially after 2005 , our fund industry has entered a new chapter . Especially after 2005 , China ' s fund industry has entered a new chapter . In particular , China ' s fund management company has been set up 90 in 2005 , including stock fund , mixed fund , index fund , bond fund , etc . , and the total assets management scale exceeds RMB 4 trillion yuan .

At the end of February 2012 , China ' s fund third - party sales opened . In 2013 , Tianhong Fund collaborated with the payment platform Alipay , and each big fund company landed in Taobao opening store . The investors not only have more fund products choice but also can buy the fund products through various channels . The domestic fund rating agencies are increasingly becoming the standard for investors to judge the fund . At present , domestic fund rating agencies are mainly divided into three categories : first class , China subsidiary of mature institutions , such as the Galaxy Fund Evaluation Center , the rating of the Fund , the rating of the Merchants Fund , and not the independent rating agencies ;
Third , third - party securities investment consulting firms , such as the day - based investment consulting firms , have ratings . But whether the five - star rating fund of these fund - rating agencies can bring investors beyond market benchmark returns for a certain period of time is a matter that we are worth thinking . Whether investors can buy funds based on the five - star rating of the fund rating agency and gain stable returns over market benchmarks is the focus of the study .

Taking the open stock fund of our country as the research object , the five - star fund is selected as the sample as of December 31 , 2012 , the rating agencies of the three big funds ( the rating of the morning star , the rating of the Galaxy Securities Fund and the rating of Ji ' an Jinxin Fund ) as the sample . From the risk adjustment benefit , the fund manager ' s choice and the stock selection ability and the sustainability of the fund performance , this paper studies the performance of the five - star fund in one year after the fund rating , and sorts the rating effectiveness of the three rating agencies .

The main contents of this paper are as follows :

A total of 38 open stock - type five - star funds selected by the three institutions in the end of 2012 were selected as sample funds , from the risk - adjusted income of the fund , the timing of the fund manager , and the performance of the fund .

The results show that 34 of the five - star funds selected by the three rating agencies have the average daily yield higher than the market benchmark , and only 3 funds have the negative Jansa value and the Beta coefficient of the fund is higher than 1 . The five - star funds can obtain the income level above the market benchmark in the next time after the rating evaluation period , and can effectively disperse the risk .

The paper selects T - M and H - M model to carry on the empirical analysis on the ability of the optional time - selecting stock of the five - star fund by using the T - M and H - M model .
However , almost all funds have negative secondary coefficients , i.e . , the Fund has an inverted time - time capacity , but has barely passed the t - test . It illustrates that the five - star fund has a strong choice of stocks , but does not have a better time - time capacity .

The paper selects two weeks , four weeks and three months ' fund excess returns , and uses Eviews to carry out cross - sectional regression respectively to investigate the performance sustainability of the funds in 2 weeks , 4 weeks and 3 months . The results show that 38 funds have a significant slope coefficient of not 0 in 2 weeks , 4 weeks and 3 months , respectively . The results show that 38 funds have a certain performance persistence in a certain period . The ranking effectiveness of the three rating agencies is in turn : Morning Star Rating , Ji ' an Jinxin , Galaxy Fund rating .

Through the empirical analysis , the paper concludes that the five - star open stock fund can obtain the income above the market benchmark level for a certain period of time , and can carry out the risk dispersion to a certain extent ;
Most of the five - star funds have strong stock options , but they do not have the ability to invest in securities . In a certain extent , the five - star fund has the sustainability of fund performance .

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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相關期刊論文 前2條

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本文編號：1689686