本文選題：數(shù)據(jù)包絡(luò)分析　切入點(diǎn)：開放式基金　出處：《合肥工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：開放式基金一直是我國基金投資的主要組成部分，對其績效的評(píng)價(jià)也是一個(gè)及其復(fù)雜的系統(tǒng)工程。我國開放式基金自誕生以來發(fā)展迅速，但是對開放式基金的業(yè)績、績效評(píng)價(jià)卻相對滯后，這給我國開放式基金的投資者、管理者和監(jiān)管者開展工作都帶來了很大的不便。因此，迫切需要建立一個(gè)更加有效的基金績效評(píng)價(jià)體系。 國內(nèi)外對基金績效評(píng)價(jià)方面的理論和實(shí)踐有很多，我們根據(jù)前人對基金績效評(píng)價(jià)的理論研究成果，找到這些傳統(tǒng)理論的優(yōu)缺點(diǎn)及其在適用性，對他們進(jìn)行分析比較，找出它們在應(yīng)用上的不足。探討分析了我國開放式基金績效評(píng)價(jià)中市場基準(zhǔn)選擇中存在的問題，在此基礎(chǔ)上，最終選取了更適合我國開放式基金現(xiàn)狀的數(shù)據(jù)包絡(luò)分析法進(jìn)行績效評(píng)價(jià)，并根據(jù)DEA模型指標(biāo)選取原則從盈利能力、成長性、成本率以及風(fēng)險(xiǎn)方面綜合考慮，構(gòu)建出一套符合我國開放式基金發(fā)展現(xiàn)狀的績效評(píng)價(jià)體系。 運(yùn)用DEA模型對2007年、2008年和2009年3年不同的市場行情時(shí)期的基金績效進(jìn)行評(píng)估，分析比較不同時(shí)期樣本基金的不同表現(xiàn)，找出持續(xù)投資運(yùn)營有效和一直處于管理無效的樣本基金，為投資者提供一個(gè)直觀的投資依據(jù)。通過差額變量分析找出基金無效率的原因，，并給出無效率基金輸入輸出變量的改善空間以及我國基金行業(yè)需要改進(jìn)的方向。
[Abstract]:Open-end fund has always been the main component of fund investment in China, and the evaluation of its performance is also an extremely complex system engineering. China's open-end fund has developed rapidly since its birth, but the performance of open-end fund has been greatly improved. Performance evaluation is relatively lagging, which brings great inconvenience to the investors, managers and regulators of open-end funds in China. Therefore, it is urgent to establish a more effective fund performance evaluation system. There are a lot of theories and practices on fund performance evaluation at home and abroad. According to the previous theoretical research results of fund performance evaluation, we find out the advantages and disadvantages of these traditional theories and their applicability, and analyze and compare them. Find out their shortcomings in application, discuss and analyze the problems existing in the selection of market benchmark in the performance evaluation of open-end funds in China, and on this basis, Finally, the paper selects the data envelopment analysis method which is more suitable for the current situation of open-end funds in our country to evaluate the performance, and according to the DEA model index selection principle from the profitability, the growth, the cost rate and the risk aspect synthetically considers, To construct a set of performance evaluation system in line with the development of open-end funds in China. This paper uses DEA model to evaluate the performance of funds in different market periods in 2007, 2008 and 2009, and analyzes and compares the performance of sample funds in different periods. To find out the sample funds which are effective and have been managed effectively, which provide an intuitive basis for investors to invest, and find out the reasons for the inefficiency of the fund through the analysis of the difference variables, and find out the reasons for the fund's inefficiency through the analysis of variance variables. The paper also gives the improvement space of inefficiency fund input and output variables and the direction to be improved in Chinese fund industry.
【學(xué)位授予單位】：合肥工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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