本文選題：基金業(yè)績(jī) + 絕對(duì)持續(xù)性　； 參考：《安徽財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：基金業(yè)績(jī)的持續(xù)性反映的是這樣一種現(xiàn)象：市場(chǎng)中前期表現(xiàn)較好的基金傾向于在下一期保持優(yōu)秀,而前期表現(xiàn)不好的基金則難以在下一期提升業(yè)績(jī)�；鸬耐顿Y風(fēng)格不同,導(dǎo)致基金的資產(chǎn)配置組合的策略不同,對(duì)基金業(yè)績(jī)的持續(xù)性會(huì)產(chǎn)生一定的影響。本文以此為切入點(diǎn),通過選擇累計(jì)凈值增長(zhǎng)率和夏普指數(shù)收益率兩個(gè)評(píng)價(jià)指標(biāo)對(duì)三種不同投資風(fēng)格基金的業(yè)績(jī)持續(xù)性進(jìn)行了比較研究。 文章首先對(duì)于基金業(yè)績(jī)研究的相關(guān)背景做了介紹,通過梳理國(guó)內(nèi)外相關(guān)文獻(xiàn)中的研究方法,最終確定了本文采用的評(píng)價(jià)指標(biāo)和檢驗(yàn)方法。在實(shí)證研究中,依據(jù)晨星公司對(duì)基金投資風(fēng)格的分類,將樣本基金分為平衡型基金、成長(zhǎng)型基金和價(jià)值型基金三類,進(jìn)行業(yè)績(jī)持續(xù)性的比較。實(shí)證的第一部分檢驗(yàn)的是三種投資風(fēng)格基金業(yè)績(jī)的絕對(duì)持續(xù)性,采用橫截面檢驗(yàn)法,得出平衡型基金的業(yè)績(jī)持續(xù)性最優(yōu),其次為成長(zhǎng)型基金,價(jià)值型基金業(yè)績(jī)的持續(xù)性最差。實(shí)證的第二部分檢驗(yàn)的是三種投資風(fēng)格基金業(yè)績(jī)的相對(duì)持續(xù)性,采用的是列聯(lián)表檢驗(yàn)法和Kendall協(xié)同系數(shù)檢驗(yàn)法,選擇了季度數(shù)據(jù)和半年度數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn)和比較,綜合兩種方法的實(shí)證結(jié)果,平衡型基金的業(yè)績(jī)持續(xù)性在兩個(gè)時(shí)間段都顯著存在,表現(xiàn)最為優(yōu)秀,而價(jià)值型基金和成長(zhǎng)型基金未能表現(xiàn)出顯著的持續(xù)性,但通過比較發(fā)現(xiàn),這兩類基金在半年度時(shí)間段的業(yè)績(jī)持續(xù)性表現(xiàn)優(yōu)于季度時(shí)間段。
[Abstract]:The persistence of fund performance reflects the phenomenon that funds with better performance in the market tend to remain excellent in the next period, while funds that do not perform well in the early period will find it difficult to improve their performance in the next period. The different investment styles of the fund lead to the different strategies of the fund's asset allocation portfolio, which will have a certain impact on the sustainability of the fund's performance. This paper makes a comparative study on the performance sustainability of three different investment style funds by selecting the cumulative net worth growth rate and Sharpe index return rate as the starting point. The paper first introduces the relevant background of fund performance research, through combing the research methods in the relevant literature at home and abroad, finally determines the evaluation index and test method adopted in this paper. In the empirical study, according to the classification of the investment style of Morningstar, the sample funds are divided into three categories: balanced fund, growth fund and value fund. The first part of the empirical test is the absolute sustainability of the performance of the three types of investment funds. Using cross-section test method, the performance sustainability of the balanced fund is the best, followed by the growth fund, and the performance of the value fund is the worst. The second part of the empirical test is about the relative sustainability of fund performance of three investment styles, using the column table test method and Kendall synergy coefficient test method, choosing quarterly data and semi-annual data for empirical test and comparison. Combined with the empirical results of the two methods, the performance persistence of balanced fund exists significantly in both periods, and the performance is the best, while the value fund and the growth fund fail to show significant persistence, but through comparison, it is found that, These two types of funds in the half-year period of performance sustainability performance better than the quarter-time period.
【學(xué)位授予單位】：安徽財(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)】：F830.91;F224

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本文編號(hào)：1869884