本文選題：證券投資基金 + 三大經(jīng)典指數(shù)　； 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：基金作為證券市場金融創(chuàng)新的產(chǎn)物,在國外已經(jīng)將近一個(gè)多世紀(jì)的發(fā)展歷程。截止到2012年三季度,全球基金總額為26.045萬億美元。其中,美洲基金市場在全球市場中獨(dú)占鰲頭,基金總額為14.808萬億美元,占全球基金總額的56.86%,以絕對優(yōu)勢領(lǐng)先于全球市場。而亞太地區(qū)基金總額為3.196萬億美元,占全球基金市場份額的12.27%,歐洲市場基金總額為7.902萬億美元,占全球基金市場總額的30.34%。非洲市場最小,只有1380億美元,占全球市場的0.53%。從上述基金分布來看,基金發(fā)展規(guī)模與經(jīng)濟(jì)發(fā)達(dá)程度息息相關(guān)。 西方發(fā)達(dá)證券市場的實(shí)踐經(jīng)驗(yàn)證明,基金業(yè)取得的顯著成效對證券業(yè)的發(fā)展起著十分重要的作用�？v觀基金在國外近百年蓬勃的發(fā)展歷史,國內(nèi)20來年的發(fā)展歷史,·我們可以看出證券投資基金作為金融市場發(fā)展過程中一個(gè)創(chuàng)新產(chǎn)品,其發(fā)展程度與經(jīng)濟(jì)發(fā)展和金融市場發(fā)展息息相關(guān)。國內(nèi)外基金發(fā)展的事實(shí)證明,基金業(yè)的成效大小對證券市場乃至經(jīng)濟(jì)發(fā)展都有著十分重要的作用。對我國而言,我國經(jīng)濟(jì)起步較晚,經(jīng)濟(jì)亟待發(fā)展,而我國近二十年的基金發(fā)展歷史也證明了基金對我國經(jīng)濟(jì)的積極促進(jìn)作用。既然基金如此的重要與受關(guān)注,那么基金的好壞、業(yè)績評價(jià)、收益率等自然會(huì)成為投資者們所日漸關(guān)注的問題。 尤其是在最近二十多年里,基金行業(yè)的發(fā)展蓬勃向上,因此,對投資基金業(yè)績進(jìn)行科學(xué)、合理的評價(jià)就成為一個(gè)既具有重大理論價(jià)值,又具有現(xiàn)實(shí)指導(dǎo)意義的重大課題。證券投資基金業(yè)績評價(jià)的核心是對基金收益和風(fēng)險(xiǎn)的權(quán)衡,傳統(tǒng)的評估方法大多是采用方差法或貝塔系數(shù)法來衡量風(fēng)險(xiǎn),但是隨著經(jīng)濟(jì)發(fā)展和金融創(chuàng)新,舊的評價(jià)方法已經(jīng)不能滿足金融或基金發(fā)展的需要。 而目前在國際上,引入了一種全新的金融風(fēng)險(xiǎn)度量方法——VaR(Value atRisk)風(fēng)險(xiǎn)度量模型對投資基金業(yè)績進(jìn)行評估。本文擬引入VaR的思想,構(gòu)建評價(jià)基金業(yè)績的指標(biāo)來測定基金業(yè)績。 隨著計(jì)算機(jī)技術(shù)的發(fā)展,金融數(shù)據(jù)的網(wǎng)羅收集,數(shù)學(xué)學(xué)科在經(jīng)濟(jì)學(xué)中的不斷應(yīng)用,學(xué)者研究的不斷突破,金融單位高管的迫切需要,使得金融風(fēng)險(xiǎn)管理技術(shù)和基金業(yè)績評價(jià)方式方法得到了極大的提升。在危機(jī)頻繁發(fā)生和金融處理手段不斷提高的背景下,VaR技術(shù)作為一種新型的風(fēng)險(xiǎn)管理技術(shù)與業(yè)績評價(jià)手段,開始登上歷史舞臺(tái)。管理者希望能有一種簡單易管理的風(fēng)險(xiǎn)管理方法來管理自己所處單位或行業(yè)的風(fēng)險(xiǎn),以在風(fēng)險(xiǎn)可控前提下拉升業(yè)績。VaR的出現(xiàn)正好滿足了大家的這種管理需要。各種世界性的官方機(jī)構(gòu)也極力推崇VaR的技術(shù)應(yīng)用。1993年,C30小組首次提出VaR的基本概念,并向世界相關(guān)金融機(jī)構(gòu)推薦這一風(fēng)險(xiǎn)管理技術(shù)。1995年,巴塞爾委員會(huì)提出VaR管理技術(shù)并首次肯定了這種技術(shù)對于風(fēng)險(xiǎn)管理的重要性。并向全世界相關(guān)金融機(jī)構(gòu)極力推薦該種風(fēng)險(xiǎn)管理方法。巴塞爾委員會(huì)的態(tài)度明確說明了VaR技術(shù)的可適應(yīng)型與可操作性。 目前,全世界各大銀行等金融機(jī)構(gòu)都已經(jīng)將VaR風(fēng)險(xiǎn)管理技術(shù)引入到了自己的企業(yè)風(fēng)險(xiǎn)管理中。VaR技術(shù)的普及應(yīng)用,說明了這一技術(shù)的生命力與準(zhǔn)確性。 本文從實(shí)是用性、科學(xué)性角度出發(fā),將風(fēng)險(xiǎn)度量成果VaR應(yīng)用到證券投資基金業(yè)績評價(jià)中。全文共分為五個(gè)部分： 第一部分是本文的緒論部分。通覽介紹了本文的選題背景是基于基金市場的蓬勃發(fā)展及其在經(jīng)濟(jì)發(fā)展中的重要地位,并介紹了對基金績效進(jìn)行研究評價(jià)的重要性。關(guān)于基金業(yè)績評價(jià),本文對國內(nèi)外的相關(guān)研究成果進(jìn)行文獻(xiàn)述評,介紹了目前研究現(xiàn)狀。本節(jié)結(jié)尾是本文的研究目的、研究框架和研究方法。 第二部分以開放式基金評價(jià)為切入點(diǎn),對目前主流的基金評價(jià)方法進(jìn)行總結(jié)對比�；鹂冃У脑u價(jià)包含兩個(gè)方面,一個(gè)是基金的風(fēng)險(xiǎn)測定,一個(gè)是基金的收益測定。本部分在對傳統(tǒng)的基金績效方法進(jìn)行了詳細(xì)分析。鑒于本文研究需要,主要介紹了包括夏普指數(shù)、特雷諾指數(shù)和詹森指數(shù)三大經(jīng)典指標(biāo),并詳細(xì)的對比了這三大經(jīng)典指標(biāo)。在傳統(tǒng)研究基礎(chǔ)上,本文引出VaR,并介紹了VaR的產(chǎn)生背景、數(shù)理基礎(chǔ)和計(jì)算方法及其在目前基金績效評價(jià)中的一些應(yīng)用。 第三部分是本文的理論分析章節(jié)。在介紹相關(guān)績效評價(jià)指標(biāo)方法之后,在VaR基礎(chǔ)上,本文引入了基于VaR的新評價(jià)指標(biāo)的構(gòu)建,即引進(jìn)的新指標(biāo)：單位VaR收益差指標(biāo)和組合收益差指標(biāo)。這兩個(gè)指標(biāo)的引進(jìn)與構(gòu)建是基于VaR基礎(chǔ)上的構(gòu)建,也是對傳統(tǒng)指標(biāo)的一個(gè)改進(jìn),尤其是對夏普指數(shù)和詹森指數(shù)的改進(jìn)。該部分還對這兩指標(biāo)的構(gòu)建進(jìn)行評析。 第四部分則是在上述基礎(chǔ)上的實(shí)證驗(yàn)證研究,通過這兩項(xiàng)指標(biāo)對隨機(jī)抽取的32項(xiàng)指標(biāo)進(jìn)行評價(jià),以驗(yàn)證本文構(gòu)建的指標(biāo),得出結(jié)論； 第五部分則是通過前文的理論分析和實(shí)證分析,得出本文的結(jié)論,并對本文的不足之處和未來研究展望提出進(jìn)一步意見。 本文的研究結(jié)論有：第一,我國開放式基金在2011年的收益率序列存在左偏性,尖峰和肥尾性；第二,從投資者注重下行風(fēng)險(xiǎn)的角度來看,基于VaR的基金業(yè)績評價(jià)指標(biāo)相對于三大經(jīng)典指標(biāo)有明顯的應(yīng)用優(yōu)勢；第三,以本文構(gòu)建的市場基準(zhǔn)來衡量,可以看出我國開放式基金在2011年于市場的業(yè)績基.本持平或略低于整體市場。 本文也有一定研究局限：VaR分析方法的應(yīng)用對基金的規(guī)范發(fā)展、數(shù)據(jù)清晰程度、基金市場發(fā)展現(xiàn)實(shí)有很大要求。并且作為一種實(shí)證數(shù)據(jù)分析的評價(jià)方法,三大經(jīng)典指標(biāo)、VaR分析方法、本文構(gòu)造的統(tǒng)計(jì)量分析方法,甚至其他一些指標(biāo)評價(jià)方法,都對基金數(shù)據(jù)提出了更高的要求。因此,在應(yīng)用到我國基金績效評價(jià)的工作實(shí)際過程中的時(shí)候,我們還應(yīng)該考慮基金的歷史數(shù)據(jù)準(zhǔn)確與否問題。此外,有關(guān)基金公司經(jīng)營問題,經(jīng)濟(jì)周期等問題也是未來研究需要關(guān)注的一些方面。
[Abstract]:As a product of financial innovation in the securities market, the fund has been developing for more than a century in foreign countries. By the three quarter of 2012, the total global fund was $26 trillion and 45 billion. Among them, the American fund market was the dominant in the global market, the total amount of funds was 14 trillion and 808 billion, accounting for 56.86% of the total global fund. The Asia Pacific region fund is 3 trillion and 196 billion US dollars, accounting for 12.27% of the global fund market share, and the European market fund is $7 trillion and 902 billion, which accounts for the smallest 30.34%. African market in the global fund market. It is only $138 billion, accounting for the 0.53%. of the global market from the distribution of the above funds. The model is closely related to the degree of economic development.
The practical experience of the western developed securities market has proved that the remarkable achievements made by the fund industry have played an important role in the development of the securities industry. Its development is closely related to economic development and financial market development. The fact of the development of domestic and foreign funds has proved that the effectiveness of the fund industry has a very important role in the securities market and even the economic development. For our country, China's economy starts late, the economy is urgent to develop, and the history of the development of the fund in China in the last twenty years has also been proved. Since the fund has played an active role in promoting the economy of our country, since the fund is so important and concerned, the quality of the fund, the performance evaluation, the rate of return and so on will naturally become the concern of the investors.
Especially in the last more than 20 years, the development of the fund industry has been flourishing. Therefore, the scientific and rational evaluation of the performance of the investment fund has become a major issue with both great theoretical and practical significance. The core of the performance evaluation of the securities investment fund is the balance of the fund's income and risk, and the traditional evaluation of the fund. Most of the estimation methods use variance method or beta coefficient method to measure risk, but with economic development and financial innovation, the old evaluation method can not meet the needs of financial or fund development.
At present, a new method of financial risk measurement, the VaR (Value atRisk) risk measurement model, is introduced to evaluate the performance of investment fund. This paper introduces the idea of VaR and constructs the index of evaluating fund performance to measure the performance of the fund.
With the development of computer technology, the collection of financial data, the continuous application of mathematics in economics, the continuous breakthrough of scholars' research and the urgent need of the executives of financial units, the methods and methods of financial risk management technology and fund performance evaluation have been greatly improved. Under the background of breaking up, VaR technology, as a new risk management technology and performance evaluation method, has been on the stage of history. The manager hopes to have a simple and easy management risk management method to manage the risk of its own unit or industry, so that the emergence of the.VaR performance before the risk control is just satisfied with the people. A variety of world official institutions also strongly esteem VaR's technical application in.1993. The C30 team first proposed the basic concept of VaR and recommended this risk management technology to the world related financial institutions for.1995 years. The Basel Committee proposed VaR management technology and first affirmed the importance of this technology to risk management. The Basel Committee's attitude clearly illustrates the adaptable and maneuverability of the VaR technology.
At present, all the major banks and other financial institutions all over the world have introduced the VaR risk management technology to the popularization and application of.VaR technology in their own enterprise risk management, which shows the vitality and accuracy of this technology.
From the perspective of practicality and science, this paper applies the risk measurement result VaR to the performance evaluation of securities investment funds. The full text is divided into five parts:
The first part is the introduction of this article. The article introduces the background of this paper, which is based on the flourishing development of the fund market and its important position in the economic development, and introduces the importance of the research and evaluation of the performance of the fund. At the end of this section is the purpose, framework and methodology of the study.
The second part takes the open-end fund evaluation as the breakthrough point, summarizes and compares the current mainstream fund evaluation methods. The evaluation of the fund performance includes two aspects, one is the risk determination of the fund and the other is the determination of the fund's income. The three classic indexes including the SHARP index, the Toreno index and the Jansen index are introduced, and the three classic indexes are compared in detail. On the basis of the traditional research, the paper leads to the VaR, and introduces the background of the VaR, the mathematical foundation and the calculation method and some applications in the current fund performance evaluation.
The third part is the theoretical analysis section of this article. After introducing the related performance evaluation index method, on the basis of VaR, this paper introduces the construction of new evaluation index based on VaR, that is, the new indexes introduced: the unit VaR income difference index and the combination income difference index. The introduction and construction of the two indexes are based on the construction of the VaR. It is an improvement to the traditional index, especially the improvement of the SHARP index and Jansen index. This part also analyzes the construction of the two indicators.
The fourth part is the empirical research on the basis of the above two indicators to evaluate the 32 indexes of random extraction, in order to verify the indicators constructed in this paper and draw a conclusion.
The fifth part, through the theoretical analysis and empirical analysis of the previous article, draws the conclusion of this article, and puts forward further suggestions for the shortcomings and future research prospects of this article.
The conclusions of this paper are as follows: first, there are left bias, peak and fat tailing in the rate of return of China's open-end fund in 2011; second, from the perspective of investors' emphasis on downside risk, the VaR based performance evaluation index has obvious advantages over the three classic indicators; third, based on the market base constructed in this article. To measure, we can see that the performance of China's open ended funds in the market in 2011 is flat or slightly lower than the overall market.
This paper also has some limitations: the application of VaR analysis method has great demands on the standard development of the fund, the degree of data clarity and the reality of the development of the fund market. And as an evaluation method of empirical data analysis, the three classic indicators, the VaR analysis method, the statistical analysis method constructed in this paper, and even some other index evaluation parties. Therefore, when we apply to the actual process of the performance evaluation of the fund, we should also consider whether the historical data of the fund is accurate or not. In addition, the problems related to the management of the fund companies and the economic cycle are also some aspects of the future research.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F831.51

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本文編號(hào)：2033339