【摘要】：本文首先介紹了我國開放式股票基金的概況以及國內(nèi)外關于基金績效評估的現(xiàn)狀。其次,本文根據(jù)我國證券市場的情況,采用眾多樣本基金,運用一些基金績效評估模型對我國開放式股票基金進行了模擬檢驗,并且在金融危機前后進行比較,驗證了這幾個回歸模型在我國基金業(yè)的適用性和準確性。 最后,根據(jù)模擬的結果本文認為：基金總體可以戰(zhàn)勝市場,基金公司顯示了良好的投資管理能力,但在金融危機之后,經(jīng)濟刺激政策出臺之后股市處于上升時期,市場指標的漲幅會超過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,兩極分化嚴重；對三個重要評估指標的推薦順序依次是：Sharpe指標Treynor指標,Jenson指標可以作為參考；各基金的風險大小是由基金管理公司的投資策略所決定的,高風險與高收益不存在正向關系；絕大部分基金都具有選股能力,但缺乏市場時機選擇的能力,推薦T-M模型作為基金選股擇時能力的評價指標；基金在半年度的持續(xù)性分析中,沒有顯示明顯持續(xù)性。最后,根據(jù)模擬結果提出了一些不足和進一步研究方向。
[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.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：2241552