本文選題：基金績效 + 模型平均方法　； 參考：《青島大學(xué)》2017年碩士論文

【摘要】：進入二十一世紀以來,我國的證券投資基金發(fā)展態(tài)勢良好,開放式基金業(yè)逐漸發(fā)展成基金市場的中流砥柱�；饦I(yè)績的評估體系在基金業(yè)的發(fā)展中起到了舉足輕重的作用,如今基金評估方法多樣,采用模型選擇方法時,選擇的依據(jù)不夠明確。為了避免模型選擇產(chǎn)生的偏差,考慮將模型平均方法運用到基金績效的研究中,探究選取的因素對基金績效的影響,并期望能改善預(yù)測效果�；谀Ｐ推骄椒ǖ幕鹂冃У脑u價研究主要從三個方面進行:首先,搜集對基金業(yè)績產(chǎn)生重大影響的因素,搜集的因素之間存在盡量小的相關(guān)性,并且容易構(gòu)建線性模型;其次,引入S-AIC、S-BIC、JMA和OPT四種模型平均方法,將單只基金的月度凈值增長率作為被解釋變量,選取三因素模型中的市場因素、規(guī)模因素和賬面市值比因素,以及另外的持股集中度和基金凈值增長率標準差總共五個影響因素作為被解釋變量,構(gòu)建若干個可供選擇的線性模型,對每個模型都按照四種不同的標準賦予一定的權(quán)重進行實證分析,選取2010年6月之前成立的30只開放式基金作為研究樣本,樣本評價時間區(qū)間為2011年1月1日到2016年3月31日,對2016年4月1日至2016年12月31日共九期的基金月度凈值增長率進行預(yù)測,將絕對誤差和最優(yōu)率作為預(yù)測精度來衡量預(yù)測的效果。結(jié)果顯示,無論從平均絕對誤差還是最優(yōu)率上看,OPT模型平均方法對基金績效的預(yù)測精度最高,預(yù)測效果最好,并且具有很好的穩(wěn)定性,最后基于OPT方法探究出這五個因素都對基金績效有影響。
[Abstract]:Since the 21 century, China's securities investment funds have developed well, and the open-end fund industry has gradually developed into a mainstay of the fund market. The evaluation system of fund performance plays an important role in the development of fund industry. Nowadays, the evaluation methods of fund are various, and the basis of selection is not clear enough when adopting the model selection method. In order to avoid the deviation caused by model selection, we consider applying the model average method to the study of fund performance, explore the influence of selected factors on fund performance, and expect to improve the forecasting effect. The research of fund performance evaluation based on model average method is mainly carried out from three aspects: firstly, collecting the factors that have great influence on the fund performance, the factors collected are as small as possible correlation, and it is easy to build a linear model; Secondly, four model averaging methods, S-AIC-S-BIC-JMA and OPT, are introduced. The monthly net worth growth rate of a single fund is taken as the explained variable, and the market factors, scale factors and book market value ratio factors in the three-factor model are selected. As well as the other five factors which affect the concentration of shareholding and the standard deviation of net fund growth rate as explained variables, several alternative linear models are constructed. Each model is given a certain weight according to four different criteria, and 30 open-end funds established before June 2010 are selected as the research samples. The sample evaluation time is from January 1, 2011 to March 31, 2016. This paper forecasts the monthly net worth growth rate of the fund for the nine periods from April 1, 2016 to December 31, 2016. The absolute error and the optimal rate are taken as the precision of the forecast to measure the effect of the forecast. The results show that both the average absolute error and the optimal rate of OPT model have the highest forecasting accuracy, the best forecasting effect and the good stability. Finally, based on the OPT method to explore the five factors all have an impact on fund performance.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51;F224

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