本文選題：QDII基金 + 基金業(yè)績(jī)��； 參考：《上海外國(guó)語大學(xué)》2017年碩士論文

【摘要】：首先,本文從收益和風(fēng)險(xiǎn)這兩個(gè)方面對(duì)QDII基金業(yè)績(jī)進(jìn)行評(píng)價(jià)。對(duì)基金收益評(píng)價(jià)的主要指標(biāo)有基金的單位凈值收益率、年化收益率、幾何平均收益率等;風(fēng)險(xiǎn)角度進(jìn)行評(píng)價(jià)的指標(biāo)主要是基金收益率標(biāo)準(zhǔn)差。同時(shí),運(yùn)用夏普指數(shù)、特雷諾指數(shù)、詹森指數(shù)這三大經(jīng)典的基金業(yè)績(jī)?cè)u(píng)價(jià)指數(shù)來衡量基金的風(fēng)險(xiǎn)調(diào)整收益。本文在第四章提出了這三大指數(shù)的計(jì)算方法和定義,并在第五章詳細(xì)列出和分析了QDII基金三大指數(shù)的排序情況。分析發(fā)現(xiàn),三大指數(shù)給出的排序結(jié)果存在排序混亂問題,從而不利于投資者的投資決策,因此本文運(yùn)用因子分析法來構(gòu)建一個(gè)綜合變量對(duì)基金進(jìn)行排序。因子分析方法將之前的眾多基金業(yè)績(jī)指標(biāo)具有的兩個(gè)共同因子提取出來,綜合成一個(gè)綜合得分變量,進(jìn)而各基金業(yè)績(jī)排名清晰了然,便于基金投資者的投資決策。其次,根據(jù)業(yè)績(jī)?cè)u(píng)價(jià)的實(shí)證結(jié)果可以發(fā)現(xiàn):獲取相同收益的情況下,有的基金承擔(dān)的風(fēng)險(xiǎn)較高,而有的基金承擔(dān)的風(fēng)險(xiǎn)卻較低;承擔(dān)同樣的風(fēng)險(xiǎn),有的基金能夠取得高收益,而有的基金收益率卻不盡人意,導(dǎo)致最終的基金業(yè)績(jī)和綜合排名有較大差距。同樣是投資海外市場(chǎng)的QDII股票型基金,為何各自的業(yè)績(jī)表現(xiàn)會(huì)出現(xiàn)這樣大的差距?針對(duì)這個(gè)問題,本文將基于馬科維茨的現(xiàn)代資產(chǎn)組合理論和APT理論,并考慮其他諸多學(xué)者的研究結(jié)論,來考察投資集中度對(duì)QDII基金業(yè)績(jī)的影響情況。面板回歸模型實(shí)證結(jié)果表明,區(qū)域集中度和行業(yè)集中度會(huì)對(duì)我國(guó)的QDII基金業(yè)績(jī)產(chǎn)生顯著的正向影響,這與國(guó)外諸多學(xué)者的研究結(jié)論不謀而合。根據(jù)控制變量的影響效果來看,基金存續(xù)期的影響方向與影響假設(shè)相一致,并且基金規(guī)模也對(duì)收益產(chǎn)生顯著的正向作用。最后,本文根據(jù)實(shí)證結(jié)果和我國(guó)QDII基金投資現(xiàn)狀提出了措施和建議,以期我國(guó)的QDII基金能夠在未來可以發(fā)展的更好,為投資者創(chuàng)造更好的投資效益。
[Abstract]:Firstly, this paper evaluates the performance of QDII fund from two aspects: income and risk. The main indicators of fund income evaluation are the net return per unit of the fund, the annual rate of return, the geometric average rate of return and so on, while the index of risk evaluation is the standard deviation of the return rate of the fund. At the same time, we use Sharp Index, Traineau Index and Jensen Index to measure the risk-adjusted return of the fund. In the fourth chapter, we put forward the calculation method and definition of the three indices, and in the fifth chapter, we list and analyze the ranking of the three indexes of QDII fund in detail. It is found that the ranking results given by the three indices are chaotic, which is not conducive to the investment decision of investors. Therefore, this paper uses factor analysis to construct a comprehensive variable to sort the fund. The method of factor analysis extracts two common factors from previous fund performance indexes, and synthesizes them into a comprehensive score variable, and then the ranking of fund performance is clear and clear, which is convenient for fund investors to make investment decisions. Secondly, according to the empirical results of performance evaluation, we can find that some funds bear a higher risk, while some funds bear a lower risk under the same income, and some funds can obtain high returns if they bear the same risk. But some fund returns are unsatisfactory, leading to the final fund performance and comprehensive ranking has a large gap. QDII equity funds, which also invest in overseas markets, why do they have such a big gap in their performance? In order to solve this problem, this paper will investigate the influence of investment concentration on the performance of QDII funds based on Markowitz's modern portfolio theory and APT theory, and consider the research conclusions of many other scholars. The empirical results of panel regression model show that regional concentration and industry concentration will have a significant positive impact on the performance of QDII funds in China, which coincides with the research conclusions of many foreign scholars. According to the effect of the control variable, the influence direction of the fund life is consistent with the influence hypothesis, and the size of the fund has a significant positive effect on the income. Finally, based on the empirical results and the present situation of QDII fund investment in China, this paper puts forward some measures and suggestions, in the hope that our country's QDII fund can develop better in the future and create better investment benefit for investors.
【學(xué)位授予單位】：上海外國(guó)語大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 金輝;詹崇鶴;曹艷卡;;我國(guó)QDII基金業(yè)績(jī)?cè)u(píng)價(jià)及影響因素實(shí)證分析[J];杭州電子科技大學(xué)學(xué)報(bào);2013年06期

2 張s，

本文編號(hào)：1951967