【摘要】：隨著我國(guó)經(jīng)濟(jì)社會(huì)發(fā)展和居民收入水平的不斷提高,人們不再滿(mǎn)足于單一的銀行儲(chǔ)蓄,轉(zhuǎn)向?qū)で蟾呋貓?bào)率的理財(cái)方式。自1998年第一支基金發(fā)行以來(lái),我國(guó)基金業(yè)發(fā)展迅速,證券投資基金已經(jīng)成為我國(guó)機(jī)構(gòu)投資者和中小投資者重要的金融投資工具之一,如何合理地評(píng)價(jià)基金績(jī)效也成為基金管理公司、基金評(píng)價(jià)機(jī)構(gòu)、投資者和研究人員關(guān)注的焦點(diǎn)問(wèn)題�？�(jī)效歸因方法是科學(xué)度量基金經(jīng)理投資決策效果并幫助其改善投資業(yè)績(jī)最有效的方法之一,是基金績(jī)效評(píng)估體系中的重要環(huán)節(jié),其本質(zhì)上是將投資組合的實(shí)際績(jī)效與一個(gè)市場(chǎng)基準(zhǔn)的收益進(jìn)行比較,將兩者之間的差額即基金超額收益分解成與投資經(jīng)理決策過(guò)程對(duì)應(yīng)的幾種效應(yīng),以解釋超額收益的來(lái)源。現(xiàn)在國(guó)內(nèi)普遍使用的績(jī)效歸因方法是國(guó)外80年代以前就發(fā)展起來(lái)的外部評(píng)價(jià)法,而對(duì)于目前國(guó)際主流的內(nèi)部評(píng)價(jià)法,無(wú)論是理論研究還是實(shí)踐應(yīng)用都仍較少。本文在研究國(guó)外基金績(jī)效歸因理論成果的基礎(chǔ)上,將幾種主要的績(jī)效歸因外部評(píng)價(jià)法和內(nèi)部評(píng)價(jià)法做了對(duì)比,重點(diǎn)對(duì)內(nèi)部評(píng)價(jià)法的代表Brinson績(jī)效歸因模型做了較為詳盡的介紹,并運(yùn)用多期Brinson模型對(duì)我國(guó)股票型開(kāi)放式基金2004—2015年的業(yè)績(jī)數(shù)據(jù)進(jìn)行了歸因分析。結(jié)果表明,證券選擇能力構(gòu)成我國(guó)股票型開(kāi)放式基金主要的業(yè)績(jī)來(lái)源,基金業(yè)績(jī)表現(xiàn)與業(yè)績(jī)來(lái)源的穩(wěn)定性存在一定關(guān)聯(lián)。
[Abstract]:With the development of economy and society in China and the improvement of income level, people are no longer satisfied with the single bank savings and turn to seek higher financial returns. Since the first fund was issued in 1998, the fund industry in China has developed rapidly, and the securities investment fund has become one of the important financial investment tools for institutional investors and small and medium-sized investors in China. How to evaluate fund performance rationally has also become the focus of attention of fund management companies, fund evaluation institutions, investors and researchers. The performance attribution method is one of the most effective methods to scientifically measure the effect of fund managers' investment decision and help them to improve their investment performance. It is also an important link in the fund performance evaluation system. In essence, it compares the actual performance of the portfolio with the return of a market benchmark, and decomposes the difference between the two into several effects corresponding to the decision-making process of the investment manager to explain the origin of the excess return. At present, the commonly used performance attribution method in China is the external evaluation method developed before the 1980s. However, there are still few internal evaluation methods in the international mainstream, either in theory or in practice. On the basis of studying the achievements of foreign fund performance attribution theory, this paper compares several main performance attribution external evaluation methods with internal evaluation methods, and focuses on the detailed introduction of Brinson performance attribution model, which is the representative of internal appraisal method. Based on the multi-term Brinson model, this paper analyzes the performance data of equity open-end funds in China from 2004 to 2015. The results show that the ability of securities selection constitutes the main source of performance of China's equity open-end funds, and the performance of funds is related to the stability of the sources of performance.
【學(xué)位授予單位】：北京郵電大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 梁邦龍;林杰;;基于投資數(shù)據(jù)庫(kù)的基金績(jī)效多期歸因研究[J];科技創(chuàng)新導(dǎo)報(bào);2012年23期

2 張明明;郭忠亭;;證券投資基金業(yè)績(jī)歸因分析方法的研究[J];現(xiàn)代管理科學(xué);2007年01期

3 徐穎;劉海龍;;基金的投資績(jī)效歸因分析及實(shí)證研究[J];系統(tǒng)工程;2006年01期

4 于瑾;;我國(guó)證券投資基金業(yè)績(jī)歸因分析的實(shí)證研究[J];中國(guó)軟科學(xué);2004年09期

5 陳良文,楊湘豫;基金的投資績(jī)效分析設(shè)計(jì)[J];湖南商學(xué)院學(xué)報(bào);2004年02期

相關(guān)重要報(bào)紙文章 前1條

1 辛f，

本文編號(hào)：2392341