本文選題：集合資產(chǎn)管理計(jì)劃 + 績(jī)效評(píng)價(jià)體系��； 參考：《浙江工商大學(xué)》2014年碩士論文

【摘要】：自2005年光大證券發(fā)行第一只集合理財(cái)產(chǎn)品“光大陽光集合理財(cái)產(chǎn)品”以來,券商集合理財(cái)業(yè)務(wù)重新開閘。集合資產(chǎn)管理計(jì)劃由于其專業(yè)理財(cái)、風(fēng)險(xiǎn)分散、投資范圍廣以及投資比例靈活等一系列優(yōu)點(diǎn)迅速獲得投資者認(rèn)可,成為理財(cái)產(chǎn)品市場(chǎng)上一股不可忽視的力量,其規(guī)模已經(jīng)從2005年的139.52億發(fā)展到目前的5300多億。隨著產(chǎn)品數(shù)量和規(guī)模不斷膨脹,監(jiān)管部門、相關(guān)金融機(jī)構(gòu)及投資者越來越重視集合資產(chǎn)管理計(jì)劃績(jī)效的評(píng)估。對(duì)其進(jìn)行全面、科學(xué)的評(píng)估會(huì)促進(jìn)行業(yè)的健康發(fā)展,然而,目前我國集合資產(chǎn)管理計(jì)劃績(jī)效評(píng)估體系的研究尚處在起步階段,遠(yuǎn)末形成完整和權(quán)威的系統(tǒng),因此,如何建立一個(gè)科學(xué)的、有效的評(píng)價(jià)體系有待于進(jìn)一步深入和拓展。 本文旨在深入了解券商集合資產(chǎn)管理計(jì)劃的發(fā)展現(xiàn)狀基礎(chǔ)上,建立一個(gè)集合資產(chǎn)管理計(jì)劃績(jī)效評(píng)估體系,對(duì)目前市場(chǎng)上的部分產(chǎn)品進(jìn)行實(shí)證研究,得出相應(yīng)的結(jié)論和政策建議。全文共分為6個(gè)部分：第一部分,說明本文的選題背景及意義、研究思路及框架安排,并給出本文的創(chuàng)新點(diǎn)及不足之處；第二部分,文獻(xiàn)綜述,該部分主要包括集合資產(chǎn)管理計(jì)劃研究現(xiàn)狀、基金業(yè)績(jī)?cè)u(píng)價(jià)相關(guān)理論、國內(nèi)外基金業(yè)績(jī)?cè)u(píng)價(jià)研究方法及研究現(xiàn)狀這三個(gè)部分；第三部分,集合理財(cái)產(chǎn)品的概述及發(fā)展現(xiàn)狀。該部分主要包括集合理財(cái)產(chǎn)品概述(包括概念、類型以及特征)、開展的三個(gè)方面背景以及統(tǒng)計(jì)分析其目前的發(fā)展現(xiàn)狀；第四部分,基于主成分分析的集合資產(chǎn)管理計(jì)劃績(jī)效評(píng)估體系構(gòu)建。該部分主要可分為基金績(jī)效評(píng)估體系研究現(xiàn)狀梳理、評(píng)價(jià)體系構(gòu)建原則、評(píng)估體系的構(gòu)建以及對(duì)本文選取的綜合評(píng)判方法主成分分析進(jìn)行介紹；第五部分,績(jī)效評(píng)估體系實(shí)證研究,這部分為本文的主體部分,以2010年9月1日至2013年8月31日為樣本期,通過綜合運(yùn)用Eviews及Excel軟件得到評(píng)估體系中34只樣本產(chǎn)品的23個(gè)指標(biāo)值(主要為凈值增長(zhǎng)率指標(biāo)、風(fēng)險(xiǎn)指標(biāo)、三大經(jīng)典指標(biāo)、M2、信息比率、單因素模型、三因素模型、投資結(jié)構(gòu)及費(fèi)率指標(biāo)),最后用通過主成分分析得出績(jī)效評(píng)價(jià)最終結(jié)果；第六部分,主要結(jié)論及政策建議。這部分主要給出本文的幾點(diǎn)結(jié)論及政策建議。 通過本文的分析,得到如下幾點(diǎn)結(jié)論：第一,集合資產(chǎn)管理計(jì)劃具有良好的發(fā)展態(tài)勢(shì),未來發(fā)展前景可觀。第二,大部分產(chǎn)品業(yè)績(jī)并未超越基準(zhǔn)組合,產(chǎn)品投資經(jīng)理具有一定的風(fēng)險(xiǎn)分散能力。除了個(gè)別產(chǎn)品外,未有足夠證據(jù)表明投資經(jīng)理具備專業(yè)投資理財(cái)?shù)膬?yōu)勢(shì)。第三,從擇股擇時(shí)分析可知,大部分投資經(jīng)理具備一定的選股能力,但不突出,只有少數(shù)具備顯著的選股能力；大部分投資經(jīng)理不具備顯著的擇時(shí)能力,少數(shù)具備一定的擇時(shí)能力。第四,我國集合資產(chǎn)管理計(jì)劃偏向投資小盤股和價(jià)值型股票。第五,沒有足夠的證據(jù)表明我國集合資產(chǎn)管理計(jì)劃業(yè)績(jī)具有持續(xù)性。第六,樣本中排名前五的產(chǎn)品為：東方紅4號(hào),東方紅5號(hào),東方紅先鋒1號(hào),上海證券理財(cái)1號(hào)及興業(yè)金麒麟2號(hào)；排名后5位的產(chǎn)品有：銀河金星1號(hào),華泰紫金3號(hào),中信穩(wěn)健回報(bào),東吳財(cái)富1號(hào)及東莞旗峰2號(hào)。 與以往研究相比,本文創(chuàng)新之處在于：第一,少有文獻(xiàn)對(duì)集合資產(chǎn)管理計(jì)劃開展背景(特別是法律法規(guī)變更)以及其研究現(xiàn)狀進(jìn)行總結(jié)。第二,國內(nèi)目前尚無專門針對(duì)集合資產(chǎn)管理計(jì)劃績(jī)效評(píng)估體系進(jìn)行研究的文獻(xiàn),本文在借鑒目前已有的基金評(píng)價(jià)體系研究基礎(chǔ)上,致力于構(gòu)建集合資產(chǎn)管理計(jì)劃績(jī)效評(píng)價(jià)體系并進(jìn)行實(shí)證研究；第三,在實(shí)證研究樣本及樣本期上,由于集合資產(chǎn)管理計(jì)劃開展較晚而且近幾年才得到快速發(fā)展,目前已有文獻(xiàn)對(duì)集合資產(chǎn)管理計(jì)劃業(yè)績(jī)方面研究樣本量少而且樣本期短,本文擴(kuò)充了樣本量以及延長(zhǎng)樣本期,力求研究?jī)?nèi)容更為豐富和科學(xué),實(shí)證結(jié)果更為可靠。
[Abstract]:Since 2005 Everbright Securities issued the first collection of financial products, "Guangda sun set financial products", securities dealers have re opened their financial services. The collective asset management plan has been recognized by investors as a financial product because of its professional financial management, decentralization of risk, wide range of investment and flexible investment ratio. In the market, a force that can not be ignored has developed from 13 billion 952 million in 2005 to about 530000000000. As the quantity and scale of the product is expanding, the supervision department, related financial institutions and investors are paying more and more attention to the evaluation of the performance of the integrated asset management program. However, at present, the research on the performance evaluation system of collective asset management plan in China is still in its infancy, and a complete and authoritative system is formed at the end of the year. Therefore, how to establish a scientific and effective evaluation system needs to be further developed and expanded.
On the basis of in-depth understanding of the development status of collective asset management plan of securities dealers, this paper establishes a performance evaluation system of collective asset management plan, and makes an empirical study on some products on the market, and draws the corresponding conclusions and policy suggestions. The full text is divided into 6 parts: the first part, the background and meaning of this article is explained. Meaning, research ideas and framework arrangements, and give the innovation and shortcomings of this article; the second part, literature review, this part mainly includes the research status of the collective asset management plan, the related theory of fund performance evaluation, the research methods of performance evaluation of domestic and foreign funds and the three parts of the research status; the third part, the collection of financial products. This part mainly includes the overview of the collection of financial products (including the concept, type and characteristics), the three aspects of the background and the current status of its development; the fourth part, based on the principal component analysis of the performance evaluation system of the collective asset management plan. This part is mainly divided into the performance evaluation of the fund. The research status of the evaluation system, the principle of evaluation system construction, the construction of evaluation system and the principal component analysis of the comprehensive evaluation method selected in this paper; the fifth part, the empirical study of the performance evaluation system, this part is the main part of this paper, from September 1, 2010 to August 31, 2013 as the sample period, through the comprehensive application of Eviews And Excel software obtained the 23 index values of 34 sample products in the evaluation system (mainly net value growth index, risk index, three classic index, M2, information ratio, single factor model, three factor model, investment structure and rate index). Finally, the final results are obtained by the principal component analysis; the sixth part is the main conclusion. And the policy recommendations. This part mainly gives some conclusions and policy recommendations.
Through the analysis of this paper, we get the following conclusions: first, the collective asset management plan has a good development trend, and the future development prospects are considerable. Second, most of the product performance does not exceed the benchmark portfolio, the product investment manager has a certain risk dispersal ability. Apart from some products, there is no sufficient evidence to show that the investment manager has a good performance. Third, from the choice of timing analysis, we know that most investment managers have a certain stock selection ability, but only a few have significant stock selection ability; most of the investment managers do not have significant timing ability and a few have certain timing ability. Fourth, our country's collective asset management plan is biased. Investment small shares and value type stocks. Fifth, there is not enough evidence to show that the performance of China's collective asset management program is persistent. Sixth, the top five products in the sample are Dongfang red 4, Dongfang red 5, Dongfang Xianfeng 1, Shanghai securities finance 1 and Xingye kylin 2; the top 5 products are: Galaxy Venus 1 No. 6, Huatai Zijin 3, CITIC returns steadily, Soochow fortune 1 and Dongguan Qifeng 2.
Compared with previous research, the innovation of this paper is: first, there are few literature on the background of the management plan of collective assets management (especially the change of laws and regulations) and its current research status. Second, there is no literature on the performance evaluation system of collective asset management in China at present. On the basis of the research of the fund evaluation system, we are committed to the construction of the performance evaluation system of collective assets management plan and carry out empirical research. Third, in the sample and sample period of empirical research, the collection asset management plan has been developed late and has developed rapidly in recent years. At present, there has been some literature on the performance of collective asset management plans. The sample size is short and the sample period is short. This paper expands the sample size and extends the sample period, so as to make the research richer and scientific, and the empirical results are more reliable.

【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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