本文關(guān)鍵詞：我國證券投資基金的績效評價與實證研究　出處：《哈爾濱工業(yè)大學》2012年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 證券投資基金 績效評價 績效歸因

【摘要】：隨著我國居民個人收入及生活水平的不斷提高，人們不再滿足于單一的銀行儲蓄，而期待著尋找更高回報率的理財方式。證券投資基金的出現(xiàn)，為人們的投資理財提供了一個更好地選擇。雖然我國證券投資基金較國外市場來講起步較晚，但是發(fā)展迅速，目前已經(jīng)成為中國資本市場上重要的構(gòu)成機構(gòu)之一。伴著它的迅猛發(fā)展，如何才能全面、公正、客觀、有效地對現(xiàn)有證券投資基金進行評價，也成了人們更加觀注的話題。基金的績效評價分為一方面包括收益率評價，風險評價，另一方面包括基金業(yè)績來源，找到其自身業(yè)績不佳的原因所在。 有鑒于此，本文首先分析了國內(nèi)學者研究理論的成果，然后采用我國近三年來基金市場的數(shù)據(jù)進行實證分析，綜合利用特雷諾指數(shù)，夏普指數(shù)，和詹森指數(shù)對基金風險收益進行綜合比較。另外，利用T-M，H-M模型，對基金經(jīng)理的擇時能力和擇股能力進行評價。并利用取得的各種相關(guān)指標建立綜合因子評價模型，利用主成分析法，找出業(yè)績評價的有效因子，對樣本基金進行綜合評定。最終利用BRINSON績效歸因模型找到基金績效不佳的原因，并對基金績效的持續(xù)性進行檢驗。全文分為四章，前兩章分別為緒論及理論部分研究，全文重點在于第三章實證分析部分，，第四章為結(jié)論和可行性建議。 研究表明，目前我國基金整體業(yè)績表現(xiàn)超過無風險收益率，可以做為儲蓄的替代品�；鸾�(jīng)理的擇股能力比較明顯，但是在擇時能力方面表現(xiàn)欠佳，整體績效并不具有持續(xù)性。利用績效歸因分析可以檢驗基金經(jīng)理的資產(chǎn)配置是否合理，判斷其證券選擇能力的強弱。以上的研究方法和結(jié)論無論是對于投資者還是基金公司均有所幫助。
[Abstract]:With the continuous improvement of personal income and living standard, people are no longer satisfied with the single bank savings, and look forward to looking for a higher rate of return of financial management, the emergence of securities investment funds. It provides a better choice for people to invest and manage money. Although the securities investment fund of our country starts later than the foreign market, it develops rapidly. At present, it has become one of the most important institutions in Chinese capital market. With its rapid development, how to evaluate the existing securities investment funds comprehensively, impartially, objectively and effectively. On the one hand, the performance evaluation of the fund includes the rate of return evaluation, risk evaluation, on the other hand, including the source of fund performance, find out the reasons for its poor performance. In view of this, this paper firstly analyzes the achievements of domestic scholars' research theory, and then uses the data of fund market in recent three years to carry on empirical analysis, synthetically using Traineau index and Sharp index. In addition, T-M H-M model is used to compare the risk return of the fund with Jensen index. This paper evaluates the timing ability and stock selection ability of fund manager, and establishes a comprehensive factor evaluation model by using various relevant indicators obtained, and finds out the effective factors of performance evaluation by using the principal analysis method. Finally, using the BRINSON performance attribution model to find out the reasons for the fund performance is poor, and to test the sustainability of the fund performance. The full text is divided into four chapters. The first two chapters are the introduction and the theoretical part respectively, the full text focuses on the third chapter empirical analysis part, 4th chapter is the conclusion and the feasibility suggestion. The research shows that the overall performance of Chinese funds exceeds the risk-free rate of return, which can be used as a substitute for savings. Fund managers have obvious stock selection ability, but the performance of timing ability is poor. The overall performance is not sustainable. Using performance attribution analysis can test whether the asset allocation of fund managers is reasonable. The above research methods and conclusions are helpful to both investors and fund companies.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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本文編號：1398345