本文關(guān)鍵詞： LOF基金 業(yè)績評價 數(shù)據(jù)包絡(luò)分析　出處：《江西財經(jīng)大學》2013年碩士論文　論文類型：學位論文

【摘要】：改革開放以后,隨著國內(nèi)經(jīng)濟的快速發(fā)展,我國證券市場得以持續(xù)發(fā)展,市場機制日益完善,有效的推動了基金業(yè)的迅猛成長。而在基金業(yè)的兩種投資類型中,開放式基金相對于封閉式基金更有優(yōu)勢,如它很好的克服了封閉式基金交易價格與基金凈值相背離的缺陷,以致在基金市場的發(fā)展過程中,其規(guī)模以及品種數(shù)量都遠遠超過了封閉式證券投資基金,越來越成為主流基金品種。當前形勢下,開放式基金的業(yè)績即基金的相對收益也就成為了投資者更為關(guān)心的問題。因此如何能夠全面、科學地評價開放式基金的業(yè)績,對于基金投資者、基金管理者、乃至基金業(yè)的發(fā)展都具有重要意義。 本文總結(jié)了國內(nèi)外傳統(tǒng)基金評價方法存在的一些不足,通過運用不同的基金業(yè)績評價方法比較與分析,然后引入數(shù)據(jù)包絡(luò)分析(DEA)綜合評價方法并進行了實證分析。由于運用DEA方法評價基金的業(yè)績,可以克服選擇不同基準組合帶來不同結(jié)果的缺陷,并且還可以分析不同因素對評價結(jié)果的影響程度。通過對基金業(yè)績的有效性進行排序,并對無效基金進行差額變數(shù)分析,找出各無效基金改進的途徑,使其達到相對有效。本文選取了24只在2007年11月22日前上市的LOF基金進行了實證研究,研究結(jié)果表明：只有8只基金達到相對有效,整體基金的效率不高,造成基金業(yè)績無效的原因主要來自于規(guī)模效率不佳,其中有15只基金處于規(guī)模報酬遞減狀態(tài),表明基金現(xiàn)有的經(jīng)營規(guī)模過大,必須通過縮減經(jīng)營規(guī)模才能達到最佳規(guī)模。其次從基金投入產(chǎn)出指標的松弛變量上看,影響基金效率的主要指標是非系統(tǒng)風險分散能力過低,在四個指標中,非系統(tǒng)風險需要改進程度最大。然后通過DEA方法與傳統(tǒng)基金業(yè)績評價對比分析得出,不同評價方法得出的結(jié)果存在著很大的差異,主要是因為基于傳統(tǒng)業(yè)績評價只考慮了風險調(diào)整的業(yè)績,而沒有考慮基金的運營狀況以及非系統(tǒng)風險,但是總體上排名還是基本一致的。
[Abstract]:After the reform and opening up, with the rapid development of the domestic economy, the securities market of our country has been developing continuously, and the market mechanism has become more and more perfect, which has effectively promoted the rapid growth of the fund industry, and in the two types of investment in the fund industry. Compared with closed-end funds, open-end funds have more advantages, such as it overcomes the defect that the price of closed-end funds deviates from the net value of funds, which leads to the development of the fund market. Its size and variety number are far more than the closed-end securities investment funds, more and more become the mainstream fund varieties. Under the current situation. The performance of open-end funds, that is, the relative returns of funds, has become a more concerned issue for investors. Therefore, how to comprehensively and scientifically evaluate the performance of open-end funds, for fund investors, fund managers. Even the development of the fund industry is of great significance. This paper summarizes the shortcomings of traditional fund evaluation methods at home and abroad, through the use of different fund performance evaluation methods to compare and analyze. Then the data Envelopment Analysis (DEAA) comprehensive evaluation method is introduced and the empirical analysis is carried out. Because of the use of DEA method to evaluate the performance of the fund, we can overcome the defects of choosing different benchmark combinations to bring different results. And we can also analyze the impact of different factors on the evaluation results. By ranking the effectiveness of the fund performance and analyzing the difference variables of the invalid fund, we can find out the ways to improve the invalid fund. In this paper, 24 LOF funds listed before November 22nd 2007 are selected for empirical research. The results show that only 8 funds are relatively effective. The efficiency of the whole fund is not high, the reason that the fund performance is invalid mainly comes from the scale efficiency. Among them, 15 funds are in the state of diminishing returns of scale, which indicates that the existing scale of the fund is too large. In order to achieve the best scale, we must reduce the scale of operation. Secondly, from the relaxed variables of the fund input-output index, the main index that affects the efficiency of the fund is too low in non-systematic risk dispersion ability, in the four indicators. Non-system risk needs to be improved the most. Then through the DEA method and the traditional fund performance evaluation comparative analysis, the results of different evaluation methods are very different. The main reason is that the traditional performance evaluation only considers the performance of risk adjustment, but does not consider the performance of the fund and non-system risk, but the overall ranking is basically the same.
【學位授予單位】：江西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 楊大楷;蔡錦濤;;基于DEA方法的開放式證券基金業(yè)績評價[J];安徽大學學報(哲學社會科學版);2008年02期

2 鄧超;袁倩;;基于動態(tài)DEA模型的證券投資基金績效評價[J];系統(tǒng)工程;2007年01期

3 楊湘豫;譚國威;;開放式基金經(jīng)理與熱手的實證研究[J];系統(tǒng)工程;2007年06期

4 趙旭,吳沖鋒;證券投資基金業(yè)績與持續(xù)性評價的實證研究——基于DEA模型與R/S模型的評價[J];管理科學;2004年04期

5 吳世農(nóng);李培標;;中國投資基金證券選擇和時機選擇能力的實證研究[J];經(jīng)濟管理;2002年04期

6 沈維濤,黃興孿;我國證券投資基金業(yè)績的實證研究與評價[J];經(jīng)濟研究;2001年09期

7 胡畏;張明;;基于持股數(shù)據(jù)的基金擇股能力評價[J];系統(tǒng)工程理論與實踐;2006年09期

8 石磊,王毅捷;新基金的業(yè)績分析[J];預(yù)測;1999年05期

9 張婷,李凱;證券投資基金投資績效分析[J];預(yù)測;2000年01期

10 吳勝林;宋福鐵;;基于DEA方法的開放式基金業(yè)績評價的實證研究[J];中國證券期貨;2011年01期

，

本文編號：1453749