本文選題：債券型基金 + 擇時能力　； 參考：《東北大學(xué)》2010年碩士論文

【摘要】：證券投資基金作為一種專家理財工具,具有集合投資、分散風(fēng)險、變現(xiàn)能力強的特點,在發(fā)達國家已成為投資者的一種重要的投資工具。隨著我國證券市場不斷的發(fā)展和完善,我國證券市場投資基金的規(guī)模日趨擴大,基金數(shù)量越來越多,風(fēng)格差別越來越大,投資者投資基金時可選擇范圍變得更大,選擇難度也加大。在近期市場大幅震蕩行情下,債券型基金受到投資者的青睞,債券型基金經(jīng)理人的管理水平成為投資者關(guān)注的焦點。市場時機把握能力即擇時能力是衡量基金經(jīng)理人管理水平的重要指標(biāo),且目前關(guān)于股票和混合型基金的研究較多,研究債券型基金較少,因此研究債券型基金的擇時能力,為投資者提供科學(xué)的投資決策依據(jù)具有重要意義。 本文在系統(tǒng)閱讀基金擇時能力研究的理論基礎(chǔ),包括Markowitz均值方差理論、資本資產(chǎn)定價理論以及Fama和French三因素理論,并梳理基金擇時能力實證研究方法,包括T-M模型、H-M模型、B-P模型、C-L模型、以“FF3”模型為基礎(chǔ)的回歸模型、GⅡ期權(quán)模型、Ferson和Schadt的條件模型以及Sharpe風(fēng)格分析法。通過對評價基金擇時能力的實證研究方法進行深入分析的基礎(chǔ)上,發(fā)現(xiàn)我國學(xué)者對基金擇時力的研究主要是采用國外的經(jīng)典模型,很少涉及證券投資基金投資組合的分析,因此提出運用Sharpe風(fēng)格分析法求解基金的投資組合從而評價基金的擇時能力。本文以我國經(jīng)濟背景為依托,選擇12只開放式債券型基金作為研究對象,從債券型基金的現(xiàn)金與債券之間的轉(zhuǎn)換能力、通過在不同期限債券之間的轉(zhuǎn)換來抓住市場時機的債券期限匹配能力、年度投資組合調(diào)整能力三個角度對基金擇時能力進行研究,同時考察基金在評價期內(nèi)的現(xiàn)金流動情況,并結(jié)合基金在市場上漲階段和市場調(diào)整階段的表現(xiàn)以及基金收益與大盤收益的關(guān)系對基金擇時能力進行綜合評價。研究發(fā)現(xiàn)南方寶元、興業(yè)轉(zhuǎn)債以及天治財富增長三只基金具有擇時能力,其它樣本基金不具有擇時能力。
[Abstract]:As an expert financial tool, securities investment fund has been an important investment tool for investors in developed countries. With the continuous development and improvement of the securities market in our country, the scale of the investment funds in the securities market of our country is expanding day by day, the number of funds is more and more, the style difference is more and more big, the choice scope of investors' investment funds becomes bigger, The choice is also more difficult. In the recent market volatility, bond funds are favored by investors, bond fund managers' management level has become the focus of investor attention. The market timing ability is an important index to measure the management level of fund managers. At present, there are more researches on stocks and hybrid funds, less research on bond funds, so the paper studies the timing ability of bond funds. It is of great significance for investors to provide scientific basis for investment decision-making. This paper systematically reads the theoretical basis of the research on the timing ability of funds, including Markowitz mean variance theory, capital asset pricing theory and Fama and French three factor theory, and combs the empirical research methods of fund timing ability. It includes T-M model, H-M model, B-P model and C-L model, the regression model based on "FF3" model, the conditional model of Ferson and Schadt and the Sharpe style analysis method. Based on the deep analysis of the empirical research methods of evaluating the fund timing ability, it is found that the research on the timing ability of the fund is mainly based on the classical model of foreign countries, and seldom involves the analysis of the portfolio of the securities investment fund. Therefore, Sharpe style analysis method is used to solve the portfolio of the fund to evaluate the timing ability of the fund. Based on the economic background of our country, this paper chooses 12 open-end bond funds as the object of study, from the ability of conversion between cash and bonds of bond funds. Through the conversion between bonds with different maturities to grasp the bond maturity matching ability of market opportunity and the ability to adjust the annual portfolio, the paper studies the timing ability of the fund, and examines the cash flow of the fund during the evaluation period. Combined with the performance of the fund in the market rising stage and the market adjustment stage, and the relationship between the fund income and the market income, the comprehensive evaluation of the fund timing ability is carried out. The study found that the three funds of Southern Baoyuan, Societe Generale and Tianzhi Wealth growth have the ability of timing, while the other sample funds do not have the ability of timing.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2010
【分類號】：F224;F832.51

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