本文關(guān)鍵詞：我國開放式股票型基金投資風(fēng)格漂移及其對(duì)績效影響研究　出處：《重慶大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 開放式基金 模型回歸 投資風(fēng)格漂移 績效影響

【摘要】：隨著近些年來我國實(shí)體經(jīng)濟(jì)的大幅提升,國民生活水平的提高,國人積累了一定的財(cái)富,人民需要對(duì)自己的財(cái)富進(jìn)行科學(xué)有效地管理以達(dá)到保值增值的目的。借助于資本市場(chǎng)達(dá)到財(cái)富保值增值無疑是一個(gè)方便快捷有效的途徑,這種情況下,人們對(duì)投資工具和理財(cái)產(chǎn)品的需要顯得非常迫切,為了迎合和滿足廣大投資者的投資需求,資本市場(chǎng)上出現(xiàn)了各種各樣的金融理財(cái)產(chǎn)品;基于此,我國公募基金管理公司順勢(shì)而為,抓住市場(chǎng)契機(jī),相繼推出了大量的基金產(chǎn)品,開放式基金數(shù)量的增加非常迅猛�；鸸芾砉緮�(shù)量和基金總規(guī)模每年都成倍增長。相應(yīng)地對(duì)基金投資風(fēng)格研究也越來越多,對(duì)開放式基金投資風(fēng)格進(jìn)行系統(tǒng)研究具有很強(qiáng)的現(xiàn)實(shí)意義。本文筆者正是在這種市場(chǎng)背景下研究本課題。首先,簡要概述我國基金業(yè)近10年的發(fā)展現(xiàn)狀;比較模型后,確定本文以收益率方法來識(shí)別風(fēng)格漂移,在借鑒前人研究結(jié)果上取長補(bǔ)短,建立了本文的模型。本文選取資本市場(chǎng)上20只開放式股票型基金,為了使研究課題更具對(duì)比性,研究區(qū)間分為熊市和牛市兩個(gè)時(shí)期,對(duì)兩個(gè)研究區(qū)間進(jìn)行模型回歸,研究發(fā)現(xiàn)絕大多數(shù)基金無論在熊市時(shí)期和牛市時(shí)期實(shí)際投資風(fēng)格中均出現(xiàn)了“投資風(fēng)格漂移”現(xiàn)象,并具有趨同性,熊市時(shí)期傾向于價(jià)值型風(fēng)格漂移,牛市時(shí)期傾向于成長型風(fēng)格漂移。再用三大評(píng)價(jià)方法對(duì)基金績效進(jìn)行評(píng)價(jià)。研究發(fā)現(xiàn),基金績效優(yōu)于市場(chǎng)指數(shù)績效。再以易方達(dá)消費(fèi)這只基金為例進(jìn)行案例分析。最后,得出本文的結(jié)論并給出個(gè)人建議。本文的研究價(jià)值在于,通過模型回歸識(shí)別出了我國大多數(shù)開放式股票型基金在投資過程中的確存在投資風(fēng)格漂移這一現(xiàn)象;短期內(nèi),風(fēng)格漂移可提升基金收益,長期來看,風(fēng)格漂移卻降低了基金的績效。并且準(zhǔn)確指出風(fēng)格漂移對(duì)投資者、基金管理公司、監(jiān)管部門都造成了嚴(yán)重的負(fù)面影響。研究結(jié)論對(duì)學(xué)術(shù)界、業(yè)界、投資者都具有重要的實(shí)際參考價(jià)值。
[Abstract]:With the substantial improvement of the real economy and the improvement of the national living standard in recent years, the Chinese have accumulated certain wealth. People need to manage their wealth scientifically and effectively to achieve the purpose of maintaining and increasing the value of wealth. It is undoubtedly a convenient and efficient way to achieve wealth preservation and appreciation by means of the capital market, in this case. The need for investment tools and financial products is very urgent. In order to meet the investment needs of the majority of investors, a variety of financial products have appeared in the capital market. Based on this, China's public offering fund management companies comply with the trend, seize the opportunity of the market, have launched a large number of fund products. The number of open-end funds is increasing rapidly. The number of fund management companies and the total size of funds are increasing exponentially every year. Accordingly, there are more and more researches on the investment style of funds. It is of great practical significance to systematically study the investment style of open-end funds. It is under this market background that the author studies this subject. Firstly, the development of fund industry in China in the past 10 years is briefly summarized. After comparing the model, it is determined that this paper uses the yield method to identify the style drift, and builds the model of this paper by drawing on the previous research results. This paper selects 20 open-end equity funds in the capital market. In order to make the research subject more comparative, the research interval is divided into two periods: bear market and bull market. The study found that most of the funds in the bear market period and the bull period of the actual investment style have appeared in the "investment style drift" phenomenon, and have a convergence, bear market period tend to drift in the value style. The bull market tends to drift the growth style. Then three evaluation methods are used to evaluate the performance of the fund. Fund performance is better than market index performance. Then take the case study of Effanda consumption fund as an example. Finally, draw the conclusion of this paper and give personal advice. The research value of this paper lies in. Through the model regression, the author identifies that most open-end equity funds in China do have the phenomenon of investment style drift in the process of investment. In the short term, style drift can improve the fund income, in the long run, style drift reduces the performance of the fund, and accurately points out the style drift to investors, fund management companies. The conclusion of the research has important practical reference value to academia, industry and investors.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.51

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