本文選題：LOF + 績效分析��； 參考：《廈門大學(xué)》2014年碩士論文

【摘要】：目前,中國基金市場發(fā)展越來越迅速,尤其是開放式基金,已經(jīng)成為了投資者最重要的投資工具之一,因此越來越多的學(xué)者開始對中國開放式基金的績效進(jìn)行分析研究。作為創(chuàng)新型的開放式基金,上市型開放式基金(LOF)結(jié)合了封閉式基金和開放式基金的優(yōu)勢,因此LOF的績效研究就顯得更有實(shí)踐價值。本文選取LOF作為研究對象,對其總體績效,擇券能力、擇時能力以及績效的歸因進(jìn)行了比較全面系統(tǒng)的分析。 本文選取了2005年到2013年間39支LOF進(jìn)行研究,通過使用多因素模型和單因素模型進(jìn)行對比分析,發(fā)現(xiàn)盡管基金績效的排序在不同的模型下存在差異,但是總體上我國LOF是可以戰(zhàn)勝市場的,同時相對于規(guī)模因子,市值因子和動量因子對基金績效的解釋作用更強(qiáng)。通過對LOF擇券能力和擇時能力的分析,發(fā)現(xiàn)不管是基于TM模型和HM模型的回歸,還是Carhart-TM模型和Carhart-HM模型的回歸,我國大部分LOF的基金經(jīng)理具有一定的擇券能力,但是并不具備準(zhǔn)確把握市場時機(jī)的能力,即使存在擇時能力,其與擇券能力也是不可兼得的。最后對LOF總體績效進(jìn)行歸因分析,這些影響基金績效的因素包括了基金自身特點(diǎn)以及基金經(jīng)理的學(xué)歷,研究發(fā)現(xiàn)基金績效與基金費(fèi)率、基金存續(xù)期、基金規(guī)模、基金周轉(zhuǎn)率以及基金經(jīng)理具有MBA學(xué)位都是正相關(guān)的。 本文首次使用Carhart四因素模型對LOF的績效進(jìn)行分析,同時在Carhart四因素模型的基礎(chǔ)上,與其他傳統(tǒng)方法進(jìn)行對比分析,對我國LOF的表現(xiàn)進(jìn)行了比較全面、系統(tǒng)的分析,從而為投資者進(jìn)行投資決策提供了依據(jù),有助于基金管理者完善基金經(jīng)理評價體系并更好地提高基金業(yè)績。
[Abstract]:At present, the Chinese fund market is developing more and more rapidly, especially the open-end fund, has become one of the most important investment tools of investors, so more and more scholars begin to analyze the performance of China's open-end fund. As an innovative open-end fund, listed open-end fund combines the advantages of closed-end fund and open-end fund, so the performance research of LOF has more practical value. This paper selects LOF as the research object, and makes a comprehensive and systematic analysis of its overall performance, coupon selection ability, timing ability and performance attribution. This paper selects 39 LOF from 2005 to 2013 to carry on the research, through using the multivariate model and the single factor model carries on the contrast analysis, although the fund performance ranking exists the difference under the different model, But on the whole, LOF in China can overcome the market, and market value factor and momentum factor can explain the fund performance more strongly than the scale factor. Based on the analysis of the ability of LOF coupon selection and timing selection, it is found that most of the fund managers of LOF in China have the ability to choose a coupon, regardless of whether it is based on the regression of TM model and HM model, or the regression of Carhart-TM model and Carhart-HM model. But it does not have the ability to grasp the market timing accurately, even if there is the ability of timing, the ability of selecting coupons can not be obtained simultaneously. Finally, the attribution analysis of the overall performance of LOF is carried out. The factors that affect the performance of the fund include the characteristics of the fund itself and the education of the fund manager. The study finds that the performance of the fund and the rate of the fund, the duration of the fund, and the size of the fund. Fund turnover and fund managers with MBA degrees are positively correlated. In this paper, Carhart four-factor model is used to analyze the performance of LOF for the first time. On the basis of Carhart four-factor model, the performance of LOF in China is compared with other traditional methods, and the performance of LOF in China is analyzed comprehensively and systematically. Therefore, it provides the basis for investors to make investment decisions, and helps fund managers to improve the evaluation system of fund managers and improve the performance of funds.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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