【摘要】：本文首先介紹了我國(guó)開放式股票基金的概況以及國(guó)內(nèi)外關(guān)于基金績(jī)效評(píng)估的現(xiàn)狀。其次,本文根據(jù)我國(guó)證券市場(chǎng)的情況,采用眾多樣本基金,運(yùn)用一些基金績(jī)效評(píng)估模型對(duì)我國(guó)開放式股票基金進(jìn)行了模擬檢驗(yàn),并且在金融危機(jī)前后進(jìn)行比較,驗(yàn)證了這幾個(gè)回歸模型在我國(guó)基金業(yè)的適用性和準(zhǔn)確性。 最后,根據(jù)模擬的結(jié)果本文認(rèn)為：基金總體可以戰(zhàn)勝市場(chǎng),基金公司顯示了良好的投資管理能力,但在金融危機(jī)之后,經(jīng)濟(jì)刺激政策出臺(tái)之后股市處于上升時(shí)期,市場(chǎng)指標(biāo)的漲幅會(huì)超過(guò)總體基金的投資收益漲幅,基金管理公司之間的投資管理能力參差不齊,兩極分化嚴(yán)重；對(duì)三個(gè)重要評(píng)估指標(biāo)的推薦順序依次是：Sharpe指標(biāo)Treynor指標(biāo),Jenson指標(biāo)可以作為參考；各基金的風(fēng)險(xiǎn)大小是由基金管理公司的投資策略所決定的,高風(fēng)險(xiǎn)與高收益不存在正向關(guān)系；絕大部分基金都具有選股能力,但缺乏市場(chǎng)時(shí)機(jī)選擇的能力,推薦T-M模型作為基金選股擇時(shí)能力的評(píng)價(jià)指標(biāo)；基金在半年度的持續(xù)性分析中,沒(méi)有顯示明顯持續(xù)性。最后,根據(jù)模擬結(jié)果提出了一些不足和進(jìn)一步研究方向。
[Abstract]:This paper first introduces the general situation of open-end stock funds in China and the current situation of fund performance evaluation at home and abroad. Secondly, according to the situation of China's securities market, this paper uses a large number of sample funds, using a number of fund performance evaluation models to test the performance of open-end stock funds in China, and compared before and after the financial crisis. The applicability and accuracy of these regression models in China's fund industry are verified. Finally, according to the results of the simulation, this paper argues that the fund can defeat the market in general, and the fund companies have shown good investment management ability, but after the financial crisis, the stock market is in a rising period after the economic stimulus policy. The increase of the market index will exceed the increase of the total fund's investment income, the investment management ability of the fund management company is uneven, the polarization is serious; The recommended order of the three important evaluation indexes is: the Treynor index and the Jenson index can be used as reference, the risk of each fund is determined by the investment strategy of the fund management company, and there is no positive relationship between the high risk and the high return. Most of the funds have the ability to select stocks, but lack the ability to choose the market timing. T-M model is recommended as the evaluation index of the timing ability of the funds, and the fund does not show obvious persistence in the semi-annual sustainability analysis. Finally, based on the simulation results, some shortcomings and further research directions are proposed.
【學(xué)位授予單位】：復(fù)旦大學(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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本文編號(hào)：2241552