本文關(guān)鍵詞：股票型投資基金績(jī)效的評(píng)價(jià)與分析　出處：《中原工學(xué)院》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 證券投資基金 夏普指數(shù) 特雷諾指數(shù)

【摘要】：1998年3月,中國(guó)第一批證券投資基金（基金開(kāi)元和基金金泰）發(fā)起設(shè)立。此后，我國(guó)的證券投資基金業(yè)得到了迅猛增長(zhǎng)。證券投資基金績(jī)效評(píng)價(jià)的研究對(duì)于改善我國(guó)證券市場(chǎng)結(jié)構(gòu)、提高證券市場(chǎng)效率、推動(dòng)證券市場(chǎng)的健康發(fā)展等方面具有重要意義。 本文分以下幾個(gè)部分：第一，主要介紹了本論題的研究背景、選題意義、國(guó)內(nèi)外研究綜述等內(nèi)容。第二，對(duì)當(dāng)前基金績(jī)效評(píng)價(jià)的幾個(gè)主流模型進(jìn)行了概述，如夏普指數(shù)、特雷諾指數(shù)、詹森指數(shù)等，并比較它們的異同；第三，主要是牛市行情下股票型基金的績(jī)效分析。為了增加績(jī)效評(píng)價(jià)的客觀性，選取了2007前成立并一直存續(xù)的的上市股票型基金數(shù)據(jù)，計(jì)算它們的相關(guān)績(jī)效指標(biāo)，分析其變化趨勢(shì)和原因；最后對(duì)績(jī)效指標(biāo)分解成基金公司的擇時(shí)能力、選股能力等指標(biāo)，進(jìn)行比較深入具體的分析。第四和第五部分分別是熊市行情和盤整行情下的股票型基金的績(jī)效分析，其分析思路和第三部分相同，只不過(guò)是選取的樣本區(qū)間不同。第六，根據(jù)選定的基金績(jī)效的評(píng)價(jià)基準(zhǔn)，對(duì)樣本基金的績(jī)效進(jìn)行分析，此后進(jìn)行了小結(jié)。 簡(jiǎn)單地說(shuō)，本文實(shí)現(xiàn)了以下兩個(gè)方面進(jìn)行創(chuàng)新：一是全面評(píng)價(jià)�，F(xiàn)有文獻(xiàn)在評(píng)價(jià)基金績(jī)效時(shí)，往往采用某個(gè)階段的行情數(shù)據(jù)，或者牛市行情，或者熊市行情或者盤整行情，本文為了比較全面的評(píng)價(jià)基金的績(jī)效，不僅截取牛市行情的數(shù)據(jù)，還采用熊市行情和盤整行情的數(shù)據(jù)，，這種分析得出了更加具體的結(jié)論。二是因素分析�，F(xiàn)有文獻(xiàn)在分析或評(píng)價(jià)基金績(jī)效時(shí)，往往采用通過(guò)樣本數(shù)據(jù)做計(jì)量分析，但這里的被解釋變量的基金績(jī)效是一個(gè)整體績(jī)效。本文在通過(guò)相關(guān)指標(biāo)評(píng)價(jià)績(jī)效之后，還通過(guò)把它們分解成基金的選股績(jī)效和擇時(shí)績(jī)效，從而使得對(duì)基金績(jī)效的分析更深一步。
[Abstract]:In March 1998, the first batch of Chinese securities investment funds (fund Kaiyuan and fund Jintai) was established. The research on performance evaluation of securities investment funds has improved the structure and efficiency of securities market in China. It is of great significance to promote the healthy development of the securities market. This paper is divided into the following parts: first, mainly introduced the research background of this topic, the significance of the topic, domestic and foreign research overview. Second, the current performance evaluation of several mainstream models were summarized. Such as Sharp index, Traineau index, Jensen index and so on, and compare their similarities and differences; In order to increase the objectivity of performance evaluation, the data of listed equity funds, which were established before 2007, have been selected. Calculate their related performance indicators and analyze their changing trends and causes; Finally, the performance indicators are decomposed into the timing ability of the fund company, stock selection ability and other indicators. More in-depth and specific analysis. 4th and 5th are bear market market and consolidation of the stock fund performance analysis, its analysis ideas and the third part of the same. Only the sample interval is different. 6th, according to the selected evaluation criteria of fund performance, the performance of the sample fund is analyzed, followed by a summary. In short, this paper realizes the following two aspects of innovation: first, comprehensive evaluation. The existing literature in the evaluation of fund performance, often use a certain stage of market data, or bull market. Or bear market or consolidation market, in order to evaluate the performance of the fund in a more comprehensive way, not only intercept the data of bull market, but also use the data of bear market and consolidation market. This analysis draws a more specific conclusion. Second, factor analysis. Existing literature in the analysis or evaluation of fund performance, often through sample data for econometric analysis. However, the performance of the explained variable is a whole performance. After evaluating the performance through the relevant indicators, this paper also decomposes them into the stock selection performance and timing performance of the fund. Thus make the analysis of fund performance a deeper step.
【學(xué)位授予單位】：中原工學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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