本文選題：五星級(jí)基金　切入點(diǎn)：基金業(yè)績(jī)?cè)u(píng)級(jí)　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：在全球基金行業(yè)100多年發(fā)展歷程中,基金績(jī)效評(píng)價(jià)一直是學(xué)術(shù)界、實(shí)務(wù)界所關(guān)注的問(wèn)題。證券投資基金具備專家理財(cái)、分散風(fēng)險(xiǎn)的特點(diǎn),越來(lái)越受到投資者的關(guān)注。 1998年3月27日,我國(guó)第一批基金——基金開(kāi)元、基金金泰設(shè)立,拉開(kāi)了基金行業(yè)發(fā)展的序幕。2001年9月11日,我國(guó)正式發(fā)行第一支開(kāi)放式基金“華安創(chuàng)新”,使得基金我國(guó)基金行業(yè)進(jìn)入了新的篇章。特別是2005年后我國(guó)基金行業(yè)進(jìn)入爆發(fā)式的增長(zhǎng),截止到2014年1月31日,我國(guó)共成立基金管理公司90家,共管理基金產(chǎn)品總計(jì)1574支,包括：股票型基金、混合型基金、指數(shù)型基金、債券型基金等,總資產(chǎn)管理規(guī)模突破4萬(wàn)億元。 2012年2月底,我國(guó)基金第三方銷售開(kāi)閘。2013年天弘基金與電商支付平臺(tái)支付寶合作,各大基金公司登陸淘寶開(kāi)店。投資者不僅擁有了更多基金產(chǎn)品的選擇,并且可以通過(guò)各種渠道購(gòu)買基金產(chǎn)品。如何基于投資者對(duì)于基金產(chǎn)品業(yè)績(jī)進(jìn)行評(píng)價(jià)又成為了一大問(wèn)題。國(guó)內(nèi)外基金評(píng)級(jí)機(jī)構(gòu)的基金評(píng)級(jí)越來(lái)越成為投資者對(duì)于基金判斷的標(biāo)準(zhǔn)。目前,國(guó)內(nèi)基金評(píng)級(jí)機(jī)構(gòu)主要分為3大類：第一類,國(guó)外成熟機(jī)構(gòu)的中國(guó)子公司,例如晨星中國(guó)(Morningstar);第二類,國(guó)內(nèi)券商基金研究中心,例如銀河基金評(píng)價(jià)中心、海通基金評(píng)級(jí)、招商基金評(píng)級(jí),并非獨(dú)立評(píng)級(jí)機(jī)構(gòu)；第三類,第三方證券投資咨詢公司,例如天相投顧基金評(píng)級(jí)。但是,這些基金評(píng)級(jí)機(jī)構(gòu)的5星評(píng)級(jí)基金是否能在未來(lái)一定時(shí)間內(nèi)帶給投資者超過(guò)市場(chǎng)基準(zhǔn)收益的穩(wěn)定收益,是我們值得思考的問(wèn)題。投資者是否能夠依據(jù)基金評(píng)級(jí)機(jī)構(gòu)的5星評(píng)級(jí)去購(gòu)買基金,并獲得超過(guò)市場(chǎng)基準(zhǔn)收益的穩(wěn)定收益是本文研究的重點(diǎn)。 本文以我國(guó)開(kāi)放式股票基金為研究對(duì)象,選取截止2012年12月31日,三大基金評(píng)級(jí)機(jī)構(gòu)(晨星評(píng)級(jí)、銀河證券基金評(píng)級(jí)、濟(jì)安金信基金評(píng)級(jí))的5星級(jí)基金為樣本。從風(fēng)險(xiǎn)調(diào)整收益、基金經(jīng)理的擇時(shí)和選股能力、基金績(jī)效的持續(xù)性三個(gè)方面進(jìn)行實(shí)證研究。以期考察5星基金在基金評(píng)級(jí)后1年的業(yè)績(jī)表現(xiàn),并對(duì)三大評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí)有效性進(jìn)行排序。 本文主要內(nèi)容為： 選取2012年底三家機(jī)構(gòu)評(píng)選的開(kāi)放式股票型5星級(jí)基金共38支為樣本基金,分別從基金的風(fēng)險(xiǎn)調(diào)整收益、基金經(jīng)理?yè)駮r(shí)和擇股能力、基金績(jī)效的持續(xù)性三方面進(jìn)行實(shí)證分析。 基金的風(fēng)險(xiǎn)調(diào)整收益,本文選用夏普比率(sharp ratio)、特雷諾指標(biāo)、詹森a為基金的風(fēng)險(xiǎn)調(diào)整收益的評(píng)價(jià)指標(biāo)。選取基金的每日復(fù)權(quán)單位凈值(數(shù)據(jù)來(lái)源：wind資訊)進(jìn)行基金日收益率的計(jì)算。選取一年期定存利率為無(wú)風(fēng)險(xiǎn)收益率、采用80%滬深300指數(shù)收益率與20%上證國(guó)債指數(shù)收益率構(gòu)造市場(chǎng)基準(zhǔn)收益率。運(yùn)用Eviews對(duì)數(shù)據(jù)進(jìn)行實(shí)證分析,實(shí)證結(jié)果顯示,三家評(píng)級(jí)機(jī)構(gòu)所評(píng)選的5星級(jí)基金中34支夠獲得高于市場(chǎng)基準(zhǔn)的平均日收益率,且僅3支基金獲得負(fù)的詹森a值,1支基金的貝塔系數(shù)高于1。充分說(shuō)明,五星級(jí)基金在評(píng)級(jí)評(píng)價(jià)期后的未來(lái)一段時(shí)間內(nèi)能夠獲得高于市場(chǎng)基準(zhǔn)的收益水平,并且能夠有效的分散風(fēng)險(xiǎn)。在基金的風(fēng)險(xiǎn)調(diào)整收益方面,三大評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí)有效性排序依次為：晨星評(píng)級(jí)、濟(jì)安金信、銀河評(píng)級(jí)。 基金經(jīng)理的擇時(shí)和擇股能力,本文選用T-M,H-M模型對(duì)五星級(jí)基金的擇時(shí)擇股能力進(jìn)行實(shí)證分析。運(yùn)用Eviews對(duì)基金日收益率數(shù)據(jù)進(jìn)行實(shí)證分析：大部分基金具備較強(qiáng)的擇股能力,即獲得顯著的正a值；但幾乎所有基金均獲得負(fù)的二次項(xiàng)系數(shù),即基金具備反轉(zhuǎn)的擇時(shí)能力,但幾乎未通過(guò)t檢驗(yàn)。說(shuō)明5星基金具備較強(qiáng)的擇股能力,但不具備較好的投資擇時(shí)能力。 基金績(jī)效的持續(xù)性分析,本文選用橫截面回歸模型對(duì)基金績(jī)效的絕對(duì)持續(xù)性進(jìn)行實(shí)證分析。本文選取2周、四周、3個(gè)月的基金超額收益率,分別運(yùn)用Eviews進(jìn)行橫截面回歸,以考察各基金在2周、4周、3個(gè)月基金業(yè)績(jī)持續(xù)性�；貧w結(jié)果顯示以四周為周期的業(yè)績(jī)持續(xù)性研究中,38支基金均獲得了顯著的不為0的斜率系數(shù),并且通過(guò)T檢驗(yàn)。說(shuō)明5星基金能在一定時(shí)期內(nèi)具備一定的業(yè)績(jī)持續(xù)性。三家評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí)有效性排序依次為：晨星評(píng)級(jí)、濟(jì)安金信、銀河基金評(píng)級(jí)。 通過(guò)實(shí)證分析,最終本文認(rèn)為,5星級(jí)開(kāi)放式股票基金能夠在未來(lái)一定時(shí)期內(nèi)獲得高于市場(chǎng)基準(zhǔn)水平的收益,并能在一定程度上進(jìn)行風(fēng)險(xiǎn)的分散；大部分5星基金具備較強(qiáng)的股票選擇能力,卻不具備證券投資的擇時(shí)能力。并且,5星級(jí)基金在短期具備基金績(jī)效的持續(xù)性。在一定程度上,評(píng)級(jí)機(jī)構(gòu)的基金評(píng)級(jí)是有效的,購(gòu)買5星級(jí)基金可以為投資者帶來(lái)超過(guò)市場(chǎng)基準(zhǔn)的收益。三家基金評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí)有效性排序分別為：晨星中國(guó)(Morningstar)、濟(jì)安金信、銀河基金評(píng)級(jí)。由實(shí)證結(jié)果顯示,晨星基金評(píng)級(jí)所評(píng)選的20支五星基金,從風(fēng)險(xiǎn)調(diào)整收益,基金的擇時(shí)擇股能力、基金績(jī)效持續(xù)性來(lái)看都優(yōu)于其余兩家機(jī)構(gòu)。而銀河五星評(píng)級(jí)基金則表現(xiàn)相對(duì)較差。
[Abstract]:During the 100 - year development of the global fund industry , the performance evaluation of the Fund has been a concern of the academic community and the substantive world . The securities investment fund has the characteristics of expert financial management and diversification risk , and is more and more concerned by investors .

On March 27 , 1998 , China ' s first fund of funds , fund Kaiyuan and fund Jintai established , opened the prelude of the fund industry development . On September 11 , 2001 , China officially launched the first open - end fund , " Huian innovation " , so that the fund industry of our country has entered a new chapter . Especially after 2005 , our fund industry has entered a new chapter . Especially after 2005 , China ' s fund industry has entered a new chapter . In particular , China ' s fund management company has been set up 90 in 2005 , including stock fund , mixed fund , index fund , bond fund , etc . , and the total assets management scale exceeds RMB 4 trillion yuan .

At the end of February 2012 , China ' s fund third - party sales opened . In 2013 , Tianhong Fund collaborated with the payment platform Alipay , and each big fund company landed in Taobao opening store . The investors not only have more fund products choice but also can buy the fund products through various channels . The domestic fund rating agencies are increasingly becoming the standard for investors to judge the fund . At present , domestic fund rating agencies are mainly divided into three categories : first class , China subsidiary of mature institutions , such as the Galaxy Fund Evaluation Center , the rating of the Fund , the rating of the Merchants Fund , and not the independent rating agencies ;
Third , third - party securities investment consulting firms , such as the day - based investment consulting firms , have ratings . But whether the five - star rating fund of these fund - rating agencies can bring investors beyond market benchmark returns for a certain period of time is a matter that we are worth thinking . Whether investors can buy funds based on the five - star rating of the fund rating agency and gain stable returns over market benchmarks is the focus of the study .

Taking the open stock fund of our country as the research object , the five - star fund is selected as the sample as of December 31 , 2012 , the rating agencies of the three big funds ( the rating of the morning star , the rating of the Galaxy Securities Fund and the rating of Ji ' an Jinxin Fund ) as the sample . From the risk adjustment benefit , the fund manager ' s choice and the stock selection ability and the sustainability of the fund performance , this paper studies the performance of the five - star fund in one year after the fund rating , and sorts the rating effectiveness of the three rating agencies .

The main contents of this paper are as follows :

A total of 38 open stock - type five - star funds selected by the three institutions in the end of 2012 were selected as sample funds , from the risk - adjusted income of the fund , the timing of the fund manager , and the performance of the fund .

The results show that 34 of the five - star funds selected by the three rating agencies have the average daily yield higher than the market benchmark , and only 3 funds have the negative Jansa value and the Beta coefficient of the fund is higher than 1 . The five - star funds can obtain the income level above the market benchmark in the next time after the rating evaluation period , and can effectively disperse the risk .

The paper selects T - M and H - M model to carry on the empirical analysis on the ability of the optional time - selecting stock of the five - star fund by using the T - M and H - M model .
However , almost all funds have negative secondary coefficients , i.e . , the Fund has an inverted time - time capacity , but has barely passed the t - test . It illustrates that the five - star fund has a strong choice of stocks , but does not have a better time - time capacity .

The paper selects two weeks , four weeks and three months ' fund excess returns , and uses Eviews to carry out cross - sectional regression respectively to investigate the performance sustainability of the funds in 2 weeks , 4 weeks and 3 months . The results show that 38 funds have a significant slope coefficient of not 0 in 2 weeks , 4 weeks and 3 months , respectively . The results show that 38 funds have a certain performance persistence in a certain period . The ranking effectiveness of the three rating agencies is in turn : Morning Star Rating , Ji ' an Jinxin , Galaxy Fund rating .

Through the empirical analysis , the paper concludes that the five - star open stock fund can obtain the income above the market benchmark level for a certain period of time , and can carry out the risk dispersion to a certain extent ;
Most of the five - star funds have strong stock options , but they do not have the ability to invest in securities . In a certain extent , the five - star fund has the sustainability of fund performance .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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2 倪蘇云,肖輝,吳沖鋒;中國(guó)證券投資基金業(yè)績(jī)持續(xù)性研究[J];預(yù)測(cè);2002年06期

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本文編號(hào)：1689686