【摘要】：從我國第一只證券投資基金誕生至今,我國證券投資基金市場經(jīng)歷了近20年的發(fā)展,無論是基金數(shù)目還是基金規(guī)模都實現(xiàn)了飛速的發(fā)展,為資本市場的穩(wěn)定發(fā)展提供了堅實基礎(chǔ)。但是,相比成熟市場,我國的證券投資基金對于證券市場的控制力還有待提高。要實現(xiàn)證券投資基金的全面發(fā)展,核心之一就是要構(gòu)建一個堅實有效的市場信用體系,而這又與基金的綜合評價機制的建立是分不開的,因此本文探索研究一個全面、客觀和科學(xué)的基金績效評價體系。在理論研究部分,首先,對國內(nèi)外有關(guān)基金績效研究的文章進行分析研究,從風(fēng)險收益的單因素模型、基金管理人能力模型、風(fēng)險收益多因子模型、多元統(tǒng)計模型、數(shù)據(jù)包絡(luò)分析(DEA)等角度出發(fā),分類分析了國內(nèi)外較為經(jīng)典的文獻資料;其次,對經(jīng)典的基金績效指標進行詳細評析,本文對特雷諾(Treynor)指數(shù)、夏普(Sharpe)指數(shù)、詹森(Jensen)指數(shù)、索提諾(Sortino)比率和信息比率進行了理論分析。并對計算選股擇時指標的理論基礎(chǔ)T-M模型、H-M模型、C-L模型、Fama-French三因子模型和Carhart四因子模型進行了分析;最后,通過闡述分析VaR模型、因子分析法和超效率DEA模型,構(gòu)建本文的實證綜合模型“VaR+因子分析+超效率DEA”模型。在實證研究部分,首先,本文改進傳統(tǒng)績效評價方法中的風(fēng)險測度方法,引入VaR風(fēng)險測度模型來測度樣本基金的風(fēng)險,通過對不同時期的樣本基金進行風(fēng)險測度可知,樣本基金在震蕩期、強勢期和弱勢期的周度VaR均值分別為0.0527、0.1137和0.0724,其中最高的是強勢期,其次是弱勢期,震蕩期的最低。此外,利用得到的VaR值改進Sharpe指數(shù),通過改進的Sharpe指數(shù)對樣本基金進行績效排名;其次,采用因子分析法對本文所選取的指標體系進行處理,經(jīng)過因子分析的處理得到風(fēng)險測度指標、風(fēng)險收益測度指標、選股擇時測度指標、成本費用測度指標和基金結(jié)構(gòu)測度指標共五大類投入指標,在因子分析法中通過計算可得到樣本基金的因子得分,根據(jù)因子得分對樣本基金的績效進行分類評價;再次,將因子分析得到的投入產(chǎn)出數(shù)據(jù)導(dǎo)入超效率DEA模型,通過計算效率值對樣本進行績效評價,根據(jù)效率計算結(jié)果可知,導(dǎo)致基金無效的原因主要是技術(shù)無效率,從投影分析可知,無效基金主要需要從結(jié)構(gòu)因素和選股擇時因素方面入手來提高基金的投資效率。根據(jù)綜合績效排名分析表明,基金的類型和投資風(fēng)格對綜合績效的影響不顯著;最后,對樣本基金不同時期的績效排名進行持續(xù)性分析。實證結(jié)果顯示,從震蕩期到強勢期,基金績效表現(xiàn)微弱的持續(xù)性。從強勢期到弱勢期,基金績效不存在績效持續(xù)性,反而表現(xiàn)出較強的績效反轉(zhuǎn)性。
[Abstract]:Since the birth of China's first securities investment fund, China's securities investment fund market has experienced nearly 20 years of development, both in terms of the number of funds and the size of funds have achieved rapid development. It provides a solid foundation for the stable development of the capital market. However, compared with the mature market, China's securities investment funds have yet to improve their control over the securities market. In order to realize the all-round development of the securities investment fund, one of the core is to construct a solid and effective market credit system, which is inseparable from the establishment of the comprehensive evaluation mechanism of the fund. Objective and scientific fund performance evaluation system. In the part of theoretical research, firstly, the article about fund performance research at home and abroad is analyzed and studied, including the single factor model of risk and return, the ability model of fund manager, the multi-factor model of risk and return, the multivariate statistical model, and so on. From the point of view of data Envelopment Analysis (DEA), this paper classifies and analyzes the domestic and foreign classical literature materials. Secondly, the classical fund performance indicators are analyzed in detail. The Traineau (Treynor) index, Sharp (Sharpe) index, Jensen (Jensen) index, Sotino (Sortino) ratio and information ratio are analyzed theoretically in this paper. At the same time, the theoretical basis of calculating the stock selection time index is analyzed, such as T _ (m) model, H ~ (m) model, C ~ (?) L model, Fama-French 's three-factor model and Carhart's four-factor model. Finally, through the analysis of VaR model, factor analysis and super-efficiency DEA model, this paper constructs the empirical synthesis model "VaR factor analysis super-efficiency DEA" model. In the part of empirical research, firstly, this paper improves the risk measurement method of traditional performance evaluation method, introduces the VaR risk measure model to measure the risk of sample funds, and through the risk measurement of sample funds in different periods, we can know that the risk of the sample funds in different periods can be measured by using the risk measurement model. The mean weekly VaR of the sample funds in the periods of shock, strong and weak were 0.0527, 0.1137 and 0.0724, respectively. Among them, the highest was the strong period, the next was the weak period, and the lowest was the shaking period. In addition, using the obtained VaR value to improve the Sharpe index, through the improved Sharpe index to carry on the performance ranking to the sample fund; Secondly, the index system selected in this paper is processed by factor analysis. The risk measure index, the risk benefit measure index and the stock selection time measure index are obtained by the factor analysis. The cost and cost measure index and the fund structure measure index have five kinds of input index. The factor score of the sample fund can be obtained by calculating the factor analysis method, and the performance of the sample fund can be classified and evaluated according to the factor score. Thirdly, the input-output data obtained from factor analysis is introduced into the super-efficiency DEA model, and the performance evaluation of the sample is carried out by calculating the efficiency value. According to the result of efficiency calculation, the main reason for the invalidity of the fund is the inefficiency of technology. From the projection analysis, it can be seen that the ineffective fund needs to improve the investment efficiency of the fund mainly from the aspects of structure factor and stock selection time factor. According to the comprehensive performance ranking analysis, the types of funds and investment styles have no significant impact on the comprehensive performance. Finally, the performance ranking of sample funds in different periods is analyzed on a continuous basis. The empirical results show that from the period of shock to the period of strength, the performance of fund performance is weak persistence. From the strong period to the weak period, the fund performance does not exist performance continuity, on the contrary, it shows a strong performance reversal.
【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 楊愛軍;孟德鋒;;考慮高階矩的廣義Sharpe比率影響的投資基金績效評價[J];統(tǒng)計與決策;2012年20期

2 劉沛欣;田軍;周勇;;基于VaR和ES調(diào)整的Sharpe比率及在基金評價中的實證研究[J];數(shù)理統(tǒng)計與管理;2012年04期

3 江萍;田澍;Cheung Yan-Leung;;基金管理公司股權(quán)結(jié)構(gòu)與基金績效研究[J];金融研究;2011年06期

4 唐振鵬;彭偉;;基于CVaR的RAROC對我國開放式基金績效評價[J];系統(tǒng)工程理論與實踐;2010年08期

5 揭磊;;基于因子分析法的基金投資效率綜合評價[J];當(dāng)代經(jīng)濟;2009年20期

6 徐美萍;張波;;基于DEA的基金績效評價研究[J];數(shù)學(xué)的實踐與認識;2009年11期

7 楊大楷;蔡錦濤;;基于DEA方法的開放式證券基金業(yè)績評價[J];安徽大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2008年02期

8 杜平;徐濟東;;用VaR度量與管理投資基金的市場風(fēng)險[J];經(jīng)濟問題探索;2007年07期

9 趙秀娟;汪壽陽;;中國證券投資基金運行效率的一個實證分析[J];系統(tǒng)工程理論與實踐;2007年03期

10 鄧超;袁倩;;基于動態(tài)DEA模型的證券投資基金績效評價[J];系統(tǒng)工程;2007年01期

相關(guān)博士學(xué)位論文 前2條

1 王赫一;我國證券投資基金績效評價及影響因素研究[D];吉林大學(xué);2012年

2 賴叔懿;中國股票型開放式基金績效綜合評價研究[D];西南財經(jīng)大學(xué);2010年

相關(guān)碩士學(xué)位論文 前8條

1 張國莉;基于超效率DEA模型的開放式基金績效研究[D];南京航空航天大學(xué);2014年

2 張純;基于DEA的證券投資基金績效評價與影響因素分析[D];吉林大學(xué);2013年

3 彭焓;股票型開放式基金績效評價實證研究[D];西南財經(jīng)大學(xué);2013年

4 劉智鵬;基于DEA的我國開放式基金績效評價研究[D];合肥工業(yè)大學(xué);2012年

5 馬俊;基于DEA的我國開放式股票型基金業(yè)績評價實證研究[D];西南財經(jīng)大學(xué);2011年

6 田賽;DEA模型在我國證券投資基金績效評價中的應(yīng)用[D];華南理工大學(xué);2010年

7 孫洋;基于因子分析法的證券投資基金績效評價[D];蘭州大學(xué);2010年

8 張麗;基于因子分析法的基金綜合績效評價研究[D];中南大學(xué);2007年

，

本文編號：2470291