本文選題：開放式基金業(yè)績持續(xù)性 + 非系統(tǒng)風險��； 參考：《上海師范大學》2013年碩士論文

【摘要】：隨著我國資本市場的不斷發(fā)展和完善，證券投資基金特別是開放式基金在我國資本市場上的規(guī)模越來越大。自從2001年我國第一只開放式基金-華安創(chuàng)新基金的成立，改變了我國證券市場基金品種過于單一的局面，到2012年11月共有開放式基金1125只，規(guī)模達到幾萬億，對我國資本市場的發(fā)展具有舉足輕重的作用。目前，國內(nèi)外學者也越來越重視對基金業(yè)績的研究，而對于基金業(yè)績的持續(xù)性研究更具有重要現(xiàn)實意義，基金業(yè)績持續(xù)性是指證券投資基金前期的業(yè)績無論好壞都具有延續(xù)下去的趨勢，，即前期業(yè)績表現(xiàn)好的基金未來可能也會好，前期表現(xiàn)差的在未來也差，即人們常說的"強者恒強，弱者恒弱"的現(xiàn)象。對基金業(yè)績持續(xù)性的研究，己經(jīng)吸引了很多的學者投入到這個領域，是當代金融學理論研究中十分重要的研究課題。從基金的業(yè)績評價指標、基金業(yè)績的持續(xù)性判斷到基金業(yè)績持續(xù)性的來源研究，基金業(yè)績的理論研究取得了豐碩成果，對基金業(yè)績持續(xù)性進行深入的研究不僅可以總結出投資基金領域的諸多有用信息來指導投資者的投資活動，而且還可以作為考核基金經(jīng)理的投資績效的一項重要參考標準，無疑對于我國證券投資基金市場的發(fā)展也具有重要的意義。本文在前人已有的研究基礎上，結合我國開放式基金市場的實際情況，研究了我國開放式基金在短中長期的業(yè)績持續(xù)性，并從非系統(tǒng)風險的角度來研究非系統(tǒng)風險對開放式基金業(yè)績的持續(xù)性的影響，現(xiàn)有研究已表明非系統(tǒng)風險在實際投資中并沒有完全分散，而且被定價，即基金的高收益很有可能是因為承擔了較高的非系統(tǒng)風險，因此本文試圖用理論研究和實證分析的方法來探討非系統(tǒng)風險對基金業(yè)績持續(xù)性的影響。并得到了以下結論：我國開放式基金業(yè)績在三個月，六個月短中期具有一定的持續(xù)性，而在一年期沒有明顯持續(xù)性；我國開放式基金并沒有完全分散非系統(tǒng)風險；開放式基金投資組合的非系統(tǒng)風與基金投資組合的超額收益存在U型關系，即承擔了較高的非系統(tǒng)風險并不必然帶來高收益，甚至是較大的負收益；具有較高非系統(tǒng)風險的基金投資組合的業(yè)績在一年期和兩年期更容易變臉，使得判斷基金業(yè)績的持續(xù)性更難以琢磨。
[Abstract]:With the continuous development and improvement of China's capital market, the scale of securities investment funds, especially open-end funds, is becoming larger and larger in China's capital market. Since the establishment of China's first open-end fund, Hua'an Innovation Fund, in 2001, it has changed the situation that the variety of funds in China's securities market is too single. By November 2012, there were 1125 open-end funds with a scale of several trillion. It plays an important role in the development of China's capital market. At present, scholars at home and abroad also pay more and more attention to the research of fund performance, and the research on the sustainability of fund performance has more practical significance. Fund performance sustainability refers to the continuation of the early performance of the securities investment fund, no matter whether it is good or bad, that is, the fund with good performance in the early stage may also have a good future, and the fund with the poor performance in the early stage will also be poor in the future. That is, people often say that "the strong will be strong, the weak will be weak." The study of fund performance sustainability has attracted many scholars into this field and is a very important research topic in the theoretical research of contemporary finance. From the fund performance evaluation index, the fund performance sustainability judgment to the fund performance persistence source research, the fund performance theory research has obtained the rich achievement. The in-depth study of fund performance sustainability can not only sum up a lot of useful information in the field of investment funds to guide investors' investment activities, but also serve as an important reference standard for assessing the investment performance of fund managers. Undoubtedly, the development of China's securities investment fund market is also of great significance. On the basis of previous studies and the actual situation of open-end fund market in China, this paper studies the performance sustainability of open-end funds in the short, medium and long term. And from the perspective of non-systematic risk to study the impact of non-systematic risk on the performance of open-end funds, existing studies have shown that non-systematic risk is not completely dispersed in the actual investment, and is priced. That is, the high return of the fund is probably due to the assumption of higher non-systematic risk. Therefore, this paper attempts to use theoretical research and empirical analysis to explore the impact of non-systematic risk on the performance sustainability of the fund. The following conclusions are obtained: the performance of China's open-end funds is sustained in three months, short and medium-term in six months, but not obvious in one year, and the open-end funds in China have not completely dispersed the non-systematic risk; There is a U-type relationship between the unsystematic wind of the open-end fund portfolio and the excess return of the fund portfolio, that is, the higher non-system risk does not necessarily bring high return, or even the larger negative return; The performance of the fund portfolio with higher non-systemic risk is easier to change in one year and two years, making it more difficult to judge the sustainability of fund performance.
【學位授予單位】：上海師范大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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