本文關(guān)鍵詞： 證券投資基金 績(jī)效歸因分析 Brinson模型 Carino模型　出處：《上海交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國(guó)證券市場(chǎng)的持續(xù)健康發(fā)展，自1998年至今，我國(guó)證券投資基金得到了飛躍式的發(fā)展，已經(jīng)成為我國(guó)主要機(jī)構(gòu)投資者和絕大多數(shù)中小投資者金融投資的重要工具之一，不僅為廣大投資者搭建了“集合投資、專家理財(cái)”的平臺(tái)，更推動(dòng)了證券市場(chǎng)的健康穩(wěn)定發(fā)展和金融體系的健全完善。證券投資基金的績(jī)效以及影響因素的研究也成為了社會(huì)各界關(guān)注的焦點(diǎn)。 在研究國(guó)內(nèi)外基金績(jī)效分析理論、模型和研究成果的基礎(chǔ)上，針對(duì)我國(guó)研究學(xué)者在以Brinson模型為基礎(chǔ)的績(jī)效歸因分析方面的研究較少的情況，本文運(yùn)用以Brinson模型為基礎(chǔ)的理論，引入Carino多期績(jī)效歸因模型，更深入地對(duì)我國(guó)基金進(jìn)行實(shí)證研究，，擴(kuò)大研究范圍和研究期間。 本文選取11只開放式基金2008年至2012年的數(shù)據(jù)進(jìn)行分析，評(píng)價(jià)樣本基金的業(yè)績(jī)表現(xiàn)，以及基金經(jīng)理的資產(chǎn)配置能力和個(gè)股選擇能力，并通過面板數(shù)據(jù)分析方法，分析牛市、熊市、基金規(guī)模、投資風(fēng)格和CPI等因素對(duì)基金經(jīng)理的資產(chǎn)配置和個(gè)股選擇行為的影響，以期使基金投資者對(duì)于基金的投資業(yè)績(jī)有更深層次的認(rèn)識(shí)，對(duì)基金公司內(nèi)部績(jī)效評(píng)估研究和衡量基金經(jīng)理能力方面有所幫助，并通過基金業(yè)績(jī)影響因素分析，促進(jìn)基金經(jīng)理認(rèn)識(shí)不足之處并加以改進(jìn)，更為監(jiān)管部門提供基金行業(yè)的共性特征，作為監(jiān)管依據(jù)，促進(jìn)監(jiān)管法規(guī)的頒布以維護(hù)基金行業(yè)的健康穩(wěn)健發(fā)展。 實(shí)證分析結(jié)果顯示，樣本基金中大部分基金創(chuàng)造出了超額收益，其中個(gè)股選擇貢獻(xiàn)帶來(lái)的正收益，彌補(bǔ)了資產(chǎn)配置引起的負(fù)收益�；鸾�(jīng)理普遍具有股票選擇能力，但其資產(chǎn)配置決策受到基金合同限制，表現(xiàn)為股票的資產(chǎn)配置貢獻(xiàn)不明顯；債券的資產(chǎn)配置貢獻(xiàn)和個(gè)股選擇貢獻(xiàn)均表現(xiàn)為負(fù)數(shù)，基金經(jīng)理缺乏對(duì)債券的研究；受贖回款需按時(shí)支付的壓力和賣空機(jī)制的缺乏，貨幣及其他資產(chǎn)的表現(xiàn)抵消了部分股票的個(gè)股選擇貢獻(xiàn)。 證券市場(chǎng)在牛市階段，基金經(jīng)理更加重視股票資產(chǎn)配置，而個(gè)股選擇對(duì)超額收益的貢獻(xiàn)度未有明顯變化。在熊市階段，基金經(jīng)理對(duì)于股票資產(chǎn)配置和個(gè)股選擇均很重視，兩者對(duì)于超額收益的貢獻(xiàn)度均有提高�；鹨�(guī)模越大，分散投資的作用越明顯，個(gè)股選擇對(duì)超額收益的貢獻(xiàn)度越小�；鹜顿Y風(fēng)格和我國(guó)的CPI情況與股票資產(chǎn)配置貢獻(xiàn)和股票個(gè)股選擇貢獻(xiàn)之間未表現(xiàn)出顯著相關(guān)。
[Abstract]:With the continuous and healthy development of China's securities market, since 1998, China's securities investment funds have been developed by leaps and bounds. It has become one of the important tools of financial investment for the main institutional investors and most of the small and medium-sized investors in our country. It not only sets up a platform of "collective investment and expert financial management" for the vast number of investors. It also promotes the healthy and stable development of the securities market and the sound improvement of the financial system, and the research on the performance and the influencing factors of the securities investment funds has also become the focus of attention from all walks of life. On the basis of studying the theory, model and research results of fund performance analysis at home and abroad, the research on the performance attribution analysis based on Brinson model in China is less. Based on the theory of Brinson model, this paper introduces the Carino multi-period performance attribution model to make a more in-depth empirical study on Chinese funds and expand the scope and duration of the research. This paper analyzes the data of 11 open-end funds from 2008 to 2012, and evaluates the performance of the sample funds, as well as the asset allocation ability of fund managers and the ability of stock selection. And through the panel data analysis method, analyzes the bull market, the bear market, the fund scale, the investment style and the CPI and so on the factor and so on the fund manager asset allocation and the individual stock choice behavior influence. In order to make the fund investors have a deeper understanding of the fund's investment performance, it is helpful to the research of the fund company's internal performance evaluation and the measurement of fund manager's ability, and through the analysis of the influencing factors of the fund's performance. To promote fund managers to understand the shortcomings and improve them, to provide the common features of the fund industry, as the basis of supervision, to promote the promulgation of regulatory regulations to maintain the healthy and steady development of the fund industry. The empirical results show that most of the funds in the sample funds have created excess returns, among which the positive returns from the contribution of individual stock selection. Fund managers generally have the ability of stock selection, but their asset allocation decisions are restricted by the fund contract, which shows that the contribution of equity allocation is not obvious. The contribution of asset allocation and stock selection of bonds are both negative, and fund managers lack of research on bonds; The pressure on foreclosures to pay on time and the lack of shorting mechanisms have offset the selections of some stocks by the performance of currencies and other assets. In the bull market, fund managers pay more attention to the allocation of stock assets, while the contribution of individual stock selection to excess returns has not changed significantly. Fund managers attach great importance to the allocation of stock assets and the choice of individual stocks, both of which have increased their contribution to excess returns. The larger the size of the fund, the more obvious the role of diversification. The contribution of individual stock selection to excess return is smaller. There is no significant correlation between the investment style of fund and the CPI situation of our country and the contribution of stock asset allocation and stock stock selection.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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