本文選題：開放式基金 + 資產(chǎn)配置��； 參考：《華南理工大學(xué)》2013年碩士論文

【摘要】：伴隨著我國資本市場的持續(xù)快速發(fā)展，證券投資基金在金融市場中的重要地位日益凸顯，受到個人投資者和機構(gòu)投資者越來越多的青睞，成為投資者主要的投資方向。截止2012年底，其投資額已超過了股市總流通市值的20%。其中，開放式基金自2001年9月在我國誕生以來至2011年底，累計發(fā)行數(shù)量已經(jīng)達(dá)到了800余只，基金管理規(guī)模達(dá)到了2.18萬億元，分別占基金總量的70%和80%。如何科學(xué)合理地對開放式基金的業(yè)績進行衡量和評價，進而為投資者、基金管理者以及監(jiān)管當(dāng)局提供有價值的參考信息，幫助他們做出恰當(dāng)?shù)耐顿Y和管理決策，不僅是學(xué)術(shù)界持續(xù)爭論的熱點，同時也具有十分重要的現(xiàn)實意義。盡管國內(nèi)外學(xué)者從不同角度提出了許多業(yè)績評價模型，但站在投資者的角度，基金經(jīng)理的個人素質(zhì)尤其是波動擇時能力對基金業(yè)績具有很大的影響，是業(yè)績評價的一個重要方面。其中，波動擇時是指基金經(jīng)理結(jié)合對未來市場波動的預(yù)測調(diào)整投資組合的風(fēng)險水平，從而提高基金投資效用的行為，即在市場波動增大的時候減少風(fēng)險資產(chǎn)的持有量，在市場波動減小時增加風(fēng)險資產(chǎn)的持有量。開放式基金波動擇時能力的評價作為基金業(yè)績評價體系中的一部分，一方面是對基金管理公司之間管理水平優(yōu)劣的比較，另一方面也為基金管理公司評估投資目標(biāo)、總結(jié)經(jīng)驗、提高管理水平提供了理論上的支持，能夠從一個側(cè)面進一步求證基金是否發(fā)揮了專家理財?shù)膬?yōu)勢，真正表現(xiàn)出了良好的績效，成為證券市場上穩(wěn)定大盤的中堅力量。 本文將我國開放式基金作為研究樣本，以實證研究為主，廣泛采用比較分析法，分兩步對波動擇時能力展開研究：首先，本文嘗試在Busse的波動擇時模型中引入了收益擇時因子，結(jié)合傳統(tǒng)的擇時能力評價模型TM模型以及FF3模型，構(gòu)建FF3-TM-B模型對基金的波動擇時能力進行實證檢驗，在檢驗的過程中，對比不同模型下不同特征的基金的波動擇時能力的情況。然后，文章將在此基礎(chǔ)上進一步研究波動擇時能力與基金業(yè)績之間的關(guān)系，所采用的方法有相關(guān)分析、自助法檢驗以及條件業(yè)績評價方法，對研究結(jié)果還將嘗試做出理論上的解釋。 本文的研究結(jié)果顯示，我國股票市場的條件收益與波動之間無正相關(guān)關(guān)系，為基金進行波動擇時提供了條件，同時，開放式基金普遍具備波動擇時能力，其中期限短、規(guī)模小的基金波動擇時能力更強，而投資類型和投資風(fēng)格對波動擇時能力沒有影響。最后，本文還發(fā)現(xiàn)波動擇時能力與基金業(yè)績之間有一定的正相關(guān)性，，即波動擇時能力能夠為基金帶來業(yè)績上的提升。
[Abstract]:With the continuous and rapid development of the capital market in China, the important position of the securities investment funds in the financial market is becoming increasingly prominent, which has been more and more favored by individual investors and institutional investors, and has become the main investment direction of investors. By the end of 2012, its investment had exceeded the stock market total circulation of 20% of market value. Since the establishment of open-end funds in our country in September 2001 to the end of 2011, the cumulative number of issuance has reached more than 800, and the scale of fund management has reached 2.18 trillion yuan, accounting for 70% and 80% of the total amount of funds, respectively. How to measure and evaluate the performance of open-end funds scientifically and reasonably, and then provide valuable reference information for investors, fund managers and regulatory authorities to help them make appropriate investment and management decisions. It is not only a hot topic in academic circles, but also a very important practical significance. Although scholars at home and abroad have put forward many performance evaluation models from different angles, from the perspective of investors, the personal qualities of fund managers, especially the volatility timing ability, have a great impact on the performance of the fund. It is an important aspect of performance evaluation. Among them, volatility timing refers to the behavior of fund managers adjusting the risk level of the investment portfolio in combination with the forecast of future market volatility, thereby improving the investment utility of the fund, that is, reducing the holding of risky assets when the market volatility increases. Increase the holdings of risky assets when market volatility decreases. As a part of fund performance evaluation system, the evaluation of open-end fund volatility timing ability is to compare the management level among fund management companies, on the other hand, to evaluate investment objectives for fund management companies and sum up their experiences. Improving the management level provides theoretical support, can further verify whether the fund has played the advantage of expert financial management from a side, has shown good performance, and has become the backbone of the stable market in the securities market. In this paper, the open-end funds in China are taken as the research sample, and the empirical research is the main part, and the comparative analysis is widely used to study the volatility timing ability in two steps. Firstly, this paper attempts to introduce the return timing factor into Busse's volatility timing model. Combining with the traditional time-selecting ability evaluation model TM model and FF3 model, we construct FF3-TM-B model to test the volatility timing ability of funds. In the process of testing, we compare the volatility timing ability of funds with different characteristics under different models. Then, the paper will further study the relationship between volatility timing ability and fund performance. The methods used include correlation analysis, self-help test and conditional performance evaluation. A theoretical explanation will also be sought for the results of the study. The results of this paper show that there is no positive correlation between conditional returns and volatility in China's stock market, which provides conditions for funds to carry out volatility timing. At the same time, open-end funds generally have the ability of volatility timing, in which the duration is short. The small funds have stronger volatility timing ability, while the investment type and investment style have no effect on the volatility timing ability. Finally, it is found that there is a positive correlation between the volatility timing ability and the performance of the fund, that is, the volatility timing ability can improve the performance of the fund.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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