本文關(guān)鍵詞： 基金 評級 實證研究 因子分析 聚類分析　出處：《福建師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：自20世紀(jì)90年代以來,中國證券投資基金蓬勃發(fā)展.如何從多支基金中選擇業(yè)績較好的基金給予投資已成為國內(nèi)學(xué)者和投資者所關(guān)心的事情,因此,對中國基金進行業(yè)績評級是十分必要的. 目前流行的九個基金業(yè)績評價指標(biāo)包括基金的簡單凈值收益率均值、簡單凈值收益率方差、估值比率、β系數(shù)、Treynor指數(shù)、Sharp比率、Jensen指數(shù)、擇股能力和擇時能力.本文根據(jù)和訊基金網(wǎng)所收集的數(shù)據(jù)及上述九個指標(biāo)計算的數(shù)據(jù)用SPSS16.0軟件進行統(tǒng)計分析.通過因子分析方法對九個因子進行降維,依據(jù)計算出的因子得分,對67支股票型開放式基金進行評級并予以排序,并通過聚類分析,將業(yè)績表現(xiàn)相似的基金歸類. 通過分析,業(yè)績較好的有：工銀瑞信核心價值基金、招商安泰基金、富蘭克林國海彈性基金.結(jié)果表明因子分析的排名結(jié)果和各個單一指標(biāo)的結(jié)果排名有較大差別,說明了使用單一指標(biāo)所得到的基金評級結(jié)果比較片面,而運用因子分析能綜合地評價基金業(yè)績. 聚類分析法將工銀瑞信核心價值基金、招商安泰基金、寶康消費品基金這三支基金分別歸成一類,其余64支基金歸為一類.聚類分析進一步說明了因子分析對于基金業(yè)績評價的有效性.
[Abstract]:Since 1990s, China's securities investment funds have been booming. How to choose better performance funds from many funds to invest has become a matter of concern to domestic scholars and investors. It is necessary to rate the performance of Chinese funds. At present, nine popular fund performance evaluation indicators include the average of the simple net worth return, the variance of the simple net worth, the valuation ratio, the 尾 coefficient of Treynor index and the sharp ratio. Jensen index. According to the data collected by the network of Hutchison Fund and the data calculated by the above nine indexes, this paper makes statistical analysis with SPSS16.0 software. The nine factors are analyzed by the method of factor analysis. Dimension reduction. According to the calculated factor scores, 67 open-end funds are rated and ranked, and the funds with similar performance are classified by cluster analysis. Through analysis, the better performance are: bank of Credit Suisse core value fund, Merchants Antai Fund. The results show that the ranking results of factor analysis and the results of each single index are quite different, which shows that the results obtained by using a single index are relatively one-sided. The use of factor analysis can comprehensively evaluate the performance of the Fund. Cluster analysis will be the core value of the Bank of Credit Suisse Fund, Merchants Antai Fund, Baokang Consumer goods Fund these three funds are grouped into one category. The other 64 funds fall into one category. Cluster analysis further demonstrates the effectiveness of factor analysis for fund performance evaluation.
【學(xué)位授予單位】：福建師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1443202